Rule: Parenthetical words, phrases, or clauses (such as I believe, they say, we know, it has been said, etc. when used NOT at the beginning of a sentence) need to be separated from the rest of the sentence with a pair of commas, pair of em-dashes, or a pair of parentheses. If commas do not instantaneously indicate the parenthetical nature of the word, phrase, or clause, use a pair of dashes or parentheses.
Notes on dashes: Omit the second of the two dashes before a semicolon, colon, period, question-mark, or exclamation-mark. Omit a comma before or after a dash.
Notes on parentheses: Follow the second parenthesis with whatever mark would be needed if the whole parenthetical expression were removed. If a complete sentence is enclosed in curves, capitalize the sentence and place the period, question-mark, or exclamation-mark inside the second curve.
Examples:
Correct: The Vikings, we know, were brave men. (The "we know" is inessential to the sentence's meaning.)
Correct: The Vikings were brave men, we know. (same explanation as above)
Correct: We know the Vikings were brave men. (Here, the "we know" is the subject and verb.)
Correct: Investments of that sort—I speak from years of experience—are always attractive to the general public.
Correct: If you go (and you really ought to go), I trust you will succeed.
Practice deciding if and where to put commas, dashes, and parentheses:
Resources for further explanation of how to punctuate parentheticals:
Grammar Book's Parentheses and Brackets
The Punctuation Guide's Em Dashes
Writing Forward's Punctuation Marks: Parentheses