The following recommendations (other style guides may not concur, so let's not start calling them 'rules') are given by Kathy Sieckman at the Proof That blog. Though I like the recommendations here. I've given a lengthy quote to address your general query about non-terminal-question sentences etc rather than the single example:
Short questions that fall within a sentence can ... be [and usually need to be] set off with
dashes or parenthesis instead of commas....
• The new association president – do you know her? – emailed me.
• The new shopping mall – have you been there? – has great stores.
Where a longer direct question comes at the end of a sentence, start
the question with a capital letter and precede the question with a
colon or a comma. The question mark ending the question also ends the
• The question is, Have you completed your application for a Board
position? (Direct question)
Note, however, that shifting the order of the words can transform a
direct question into an indirect question. In a direct question, the
verb precedes the subject (shall we, can we). In an indirect question,
the verb follows the subject (we shall, we can).
• The question is whether or not you have completed your application
for a Board position. (Indirect question)
See how the indirect question asks whether or not you have and the
direct question above asks have you? That makes the difference in
whether to use the question mark or not.
Where you have a series of brief questions at the end of a sentence,
you can separate them by commas or with question marks (if you want
more emphasis). However, you do not capitalize the individual
questions where they are all related.
• Does the position include typing, drafting documents, and scheduling
appointments? (This implies that the position includes all of these
• Does the position include typing? drafting documents? scheduling
appointments? (This implies that the position may include one or more,
but not necessarily all, of these things.
If, however, you have a series of independent questions, you will
capitalize each question and end each question with a question mark.
• Before accepting the position, you should confirm the following: Are
you qualified for the position? Is there on-the-job training to keep
your skills current? Is the pay in the range you are looking for?
Sometimes, independent questions in a series are elliptical (or
condensed) expressions. See The Question Is What Happened to the
Question Mark? post.
• Did Jim sell his Corvette? To whom? For how much? When? (This is
read to mean “Did Jim sell his Corvette? To whom did he sell the
Corvette? For how much money did he sell the Corvette? When did he
sell the Corvette?”)
I'd still separate your example as Andrew recommends: by far the best style here. However, a parenthesis is acceptable:
Shall I direct the request to you (in which case I will proceed with
sending the email)?