Proper Grammar Usage?

I am writing an essay and am having a major brain-fart on how some things should be written out. First example: I am talking about looking for a trail, and how my friend the previous day had said, "You can't miss it." Do I need to start a new paragraph to type that? Leave it in a line to it's self? Second: How do you write out your own thoughts, such as "Then I thought, I'm in the middle of nowhere." Third: How do you write artists/song titles? & if I'm including lyrics from the song, do I place them in their own margin and paragraph? & Fourth: talking about supplies, should I capitalize "first aid kit"