The punctuation you wrote is right.
In general in Italian for direct speech the following rules apply:
Usually direct speech is introduced by declarative verbs followed by, in the order, colon, a space and a punctuation sign chosen among one of the following:
“...” inverted commas (or quotation marks)
«...» angled quotes (or guillemets)
Direct speech statements are enclosed between these diacritical signs.
Mi è dispiaciuto che tu non abbia detto: «Accetto volentieri la tua
– Vado e torno, – disse.
However in contemporary Italian, especially in some particular text types like newspapers articles and literary prose, these signs can be missing or replaced by others.