Those paragraph breaks do take up extra space, but they also help the reader follow the conversation. Readers are reading with an understanding of this convention, so breaking away from it can cause confusion. Look at this passage:

“Are you going to the party?” Shelly asked. “No way I’m dealing with that mess.” Charlene shifted her chair away from the table. “I’m so tired of that scene.”

As written, Shelly is the speaker of this dialogue. It’s conceivable that she’d say all of this, including asking a question that she answers herself. Charlene shifting away from the table seems like a reaction to Shelly’s comment, “No way I’m dealing with that mess.”

If the intention were that Charlene answer Shelly’s question, it would need to look like this:

“Are you going to the party?” Shelly asked.

“No way I’m dealing with that mess.” Charlene shifted her chair away from the table. “I’m so tired of that scene.”

Even with dialogue that is clearly attributed, start a new paragraph with each new speaker. The reader shouldn’t have to wait until after the dialogue is spoken to understand who is saying it. Readers form ideas and draw conclusions as they read. It might not seem like such a big deal to get to the end of a line to learn who’s speaking, but in that time a reader could develop impressions about the character or the trajectory of the scene that you don’t intend. And, by then, it may be too late to set things straight.