You have it correct EXCEPT for the capitalization, as pointed out by krman. The sentence should read:
"Yes, I th—" He was not allowed to finish.
"Shut him up NOW!" the guard growled.
The reason 'He' is capitalized is because 'He was not allowed to finish,' is a complete sentence. If it had been 'he began,' or something, it would be lowercase.
Also, the dash can be difficult to get if you don't know how to do it. There is no key for the EM Dash; however, there is an ascii code. I get the EM Dash by using the code Alt+0151. If you do this, note that Microsoft word will place the wrong quotation mark after the EM Dash automatically. To force it to have the correct quotation mark, I use the ascii code Alt+0148. This results in a quotation mark facing the proper direction: ” (If you don't use smart quotes, there is obviously no need for this).
Note: all ascii codes have to be entered on the numeric keypad.