Even if you've got an entire paragraph of dialogue, you still wouldn't capitalize "he said" afterward.

And if you've got something like:

He said, "An entire paragraph of dialogue!" and walked out the door.

You still wouldn't need to put a capital, so long as what's afterward is part of the same sentence as what came before your dialogue. Though you might not want to construct a sentence this way if you know you have a large speech coming, since your reader might have forgotten the beginning of the sentence by the time they get to the other end of it.