Dialogue lines should be written using standard prose rules, and should not be surrounded by quotation marks.
The Elder Scrolls games are not consistent when it comes to demarcating non-spoken noises in dialogue (such as coughing), sometimes marking these features with asterisks, parentheses, square brackets, or no special punctuation at all! In Skywind, we have elected to use asterisks for short noises and square brackets for longer ones.
Non-verbal interjections should preferably be written out as regular dialogue rather than descriptive captions -- "Urgh." rather than " *grunt* " -- though this often comes down to a matter of judgment. When this is not possible -- such as with whistling, laughing, or coughing -- then you should keep the caption brief and without pronouns, and end inside the brackets with a period.