: Proper way to punctuate an abrupt stopping of speech? I'd like to properly punctuate one of my characters being stopped in speech, followed by a sentence that explains that the character didn't

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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.

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The dash seems right, but the capitalisation of the following sentence seems awkward to me. I don't have a formal justification for why it shouldn't follow the same rules as, for example, '"Yes," he said' - except to say that it reads in my head in a similar lilting sort of voice, ruining the "interruption" effect.

Perhaps something like:

"Yes, I thi–"

He was not allowed to finish.

"Shut him up NOW!" the guard growled.

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You have it right. Use an em dash to indicate interruption or other abrupt stop.

Note that with the dash and the guard's remarks, you don't need "he was not allowed to finish." Readers will understand that the guard interrupted him.

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