Lead into a quotation with a VERB.
Use a comma.
Siddartha thought, "It is a good thing to..."

Cite your source.
Use a parenthetical
Write (author's last name, p. # or (pp. 121-2)
Siddartha thought, "It is a good thing to..." (Hesse, p. 121)

Lead into a quotation with the word THAT.
Hesse assures us that "He was overwhelemed..." (p. 122)

Lead into a quotation with a complete sentence.
Siddartha finally found Nirvana: "He chanted ohm silently, one with the river." (p. 121)