I'm confused, but there appears to be two possibilities here...
- You see the following sentence:
"They probably want us, let's get out of here," Jake said to Adam.
You want to quote the sentence, so you just change the quotes, like this:
"'They probably want us, let's get out of here,' Jake said to Adam."
- You actually heard Jack tell Adam, "They probably want us, let's get out of here." In that case, you would write this:
"They probably want us, let's get out of here," Jack said to Adam.
However, I'd be inclined to replace the first comma with a semicolon in this second example, and an exclamation point might be a good addition, too...
"They probably want us; let's get out of here!" Jack said to Adam.
Or replace the semicolon with a dash...
"They probably want us - let's get out of here!" Jack said to Adam.