The common rule is to start a new paragraph when the speaker changes during dialog or the topic changes during narrative passages.
The confusion here stems from the fact that when Maddy non-verbally answers Evie's question, she doesn't say anything. And since there is no direct speech, apparently there is no dialog. But that is wrong. Dialog is a concept that we have taken from drama, where it usually consists of words alone. But humans communicate on many levels, and verbal communication is only one of them. Dialog in novels usually takes this into account and adds descriptions of non-verbal communicative behavior to verbal dialog. And when non-verbal communication is so unambiguous and clear that it can easily be rephrased with words (here: "Yes."), it is in itself turn-taking in the two characters' conversation.
Your passage therefore represents dialog and may be broken into paragraphs representing the different "speakers" (or communicators):
Evie tousled her sister’s hair as she said, “You’re a mess. Did you remember to put on some shorts with that dress?”
Maddy pulled up her dress and showed that she did.
“Good. Grab your bike, let’s go.”
But paragraphs, as I stated initially, aren't just defined by a single speaker, they are also defined by a consistend topic and end when the topic changes. So when does a consistent topic overrule different speakers taking turns and combine their verbal (or non-verbal) utterances into a single paragraph?
- utterances are short, and
- they are embedded in narration.
Daniel Cann's answer provides a clear but incomplete example for this:
Calpurnia picked up Aunty's heavy suitcase and opened the door. 'I'll take it,' said Jem, and took it. I heard the suitcase hit the bedroom floor with a thump. The sound had a dull permanence about it.
What we have here is what you might call an utterance of the narrator that is unified by the single and consistent topic. This passage is not dialog, although it contains direct speech, but a narrative description of the journey of the suitcase from outside the house to the bedroom.
It is an incomplete example, because it contains only one speaker's utterance. Calpurnia and "I" do not speak, neither verbally, nor non-verbally. Therefore the example does not really provide the argument that Daniel Cann claims it does. But we can use it to create a similar example from Connor's question:
Impatiently I watch as the girls are getting ready to leave. Why does Evie always have to play with her sister’s hair? “You’re a mess,” she says dreamily, and I shake with suppressed urgency as she draws Maddy's locks through her fingers with a lazy smile. I'm just about to explode, when Evie lets Maddy's hair go and asks, if she has put on her shorts. In a haze of adrenalin I see Maddy pull up her dress to show that she has. “Good. Let’s go.” I can no longer tell who is speaking. They trample out the door and I am finally alone.
I'm so relieved, that I start to cry.
Not the best writing, but you get the idea. This paragraph is not about what the girls say. It is about them saying anything at all instead of leaving quickly. As such, their speeches are just part of the narration of the viewpoint character's distress and need to be alone.
Since the utterances in your example do not have such a unifying overlay of the narrator's thoughts, I would break it into paragraphs as dialog.