Most of the answers given so far seem to be some variation of "do what the masters did". The trouble with that is that the "masters" were often writing at a time when French was the lingua franca, and when anyone with any education could be assumed to know Latin. Neither of those things are true any more, and I for one find it immensely frustrating to read classic stories by the "masters" with large amounts of untranslated French and Latin. I'm therefore not convinced that the works of the masters are necessarily a good basis for an answer to this particular question.
Instead, write with your readers in mind.
Whether the language you're writing is purely fictional or real (and common or obscure - in absolute terms plenty of people speak both English and Sanskrit, but proportionally, not many), if your reader can be expected to infer the meaning purely from context, it is reasonable to leave it untranslated. Otherwise, options are to provide more context, or to repeat in English inline, or to provide a footnote - whatever will be best for the reader.
"You're going to be dead SAHU!"
This is fine. The reader can infer that SAHU is an insult or epithet. There's no real need to know that it means "pig", nor for a footnote that takes the reader away from the flow of the text.
"Allebeth farnor geruntin, blessings be upon you."
A reader would normally understand that the speaker may not be literally repeating themselves, but that they are speaking in a foreign (in this case, purely fictional) tongue with the translation provided.
"Allebeth farnor geruntin."
"Blessings upon you too, my friend."
Here, additional context is provided to allow the reader to understand the (fictional) language with no effort or confusion, and no need for a direct literal translation.
"As our old Hallenor teacher used to say, farva caner biot!1"
The context here suggests that the speaker and the listener would understand the (fictional) foreign language used - but the reader won't. In this case, it might feel awkward to provide the translation inline as the characters wouldn't need it, but a footnote is a perfectly reasonable solution to provide the reader with the information they need.
In each case, consider what is likely to be best for the reader, and use the most appropriate technique accordingly.