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it says:
The interrupter “By the way” may be better emphasised by the use of commas. Consider separating your interrupter from the rest of the sentence by the use of commas.
See example:
Don said, "By the way, do you have a chauffeur's license?"
1 answer 
Jerry,
If you were not quoting someone, then Grammarly's suggestion would be spot on. However, since 'by the way' fits as part of the quoted speech, the punctuation you have is absolutely correct.
I hope this helps!
Kim
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answered Apr 21 '11 at 09:45
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