Sushi rolls and soy sauce
I learned a bit about this from my Japanese friend - any nigiri sushi that has any seasoning on it (a sauce, pine nuts, chopped onion... etc) does not require shoyu (soy). The chef has already seasoned it for you. Plus - if you dipped the nigiri properly, fish side down, the toppings would fall off!
Maki sushi can be dipped or not. But some already have sauces on them and won't need extra seasoning. Spicy Unagi Roll for example. I wouldn't worry too much about proper form - maki is pretty casual. And uramaki, rice on the outside, would be impossible to dip without dunking the rice so the previous poster's comment on not getting the rice wet could not apply to this style of roll.
Generally a hand roll is always dipped. Eat it immediately before the nori gets soggy. It should be crispy on the outside so don't order it if you are at a busy restaurant on a slowish night at a table far from the sushi bar. Best to have it handed directly to you from the chef himself.
Always pour the shoyu into the dish provided to dip.