Punctuation (?) question, maybe organizing?

The way I remember being taught dialogue was that whenever someone new speaks, it requires a new line. I double-checked The Well-Tempered Sentence, and that's the advice it gave.

However, I've been seeing mashed dialogue in books lately. The sort of exchanges that go: "Do you want to come with me to the store?" I asked, gathering my purse and cloth bags. He scowled, not even bothering to look away from the television. "Hell no!"

I would split that into two paragraphs, either between "bags" and "he" or at "Hell no!"

Have I been seeing bad editing, or is there an exception to the dialogue rule that I'm unaware of?