Use a reasonably-sized font: either 10 characters per inch or a 12 point font. And choose a font that is easy to read rather one that is decorative: "Arial," "Lucida," "Modern," "Palermo" or "Times New Roman" are some good choices. Scripted fonts are hard to read even if they do make your paper "look nice"; it is the content of the paper that is most important, and making it easy for your readers to understand that content is always a good choice.
One of the features of plays is that multiple characters speak to each other in dramatic form. If you quote two characters speaking to each other this way in your paper, it is formatted as a block quote. Include a blank line between the body of your paper and the first line of your quote. When dialogue switches characters, include a blank line between each character's lines. Each line in the block quote must be indented 1 inch from your the rest of your paper's text, and if a character's speech runs more than one line, each additional line is indented an additional 1/4-inch. The names of characters are written in full caps -- don't forget to include an in-text citation after the quote. This quote is from Aristophanes's "The Birds":