Every year I teach Shakespeare, one student invariably asks the following question: Why does Shakespeare not write stage directions in his plays? The answer to this question is always the same: If you will examine his dialogue, you will find that he does.
For example, in Hamlet Act 1.1 we have this exchange:
BERNARDO: Who's there?
FRANCISCO: Nay, answer me: stand, and unfold yourself.
BERNARDO: Long live the king!
FRANCISCO: You come most carefully upon your hour.
BERNARDO: 'Tis now struck twelve; get thee to bed, Francisco.
FRANCISCO: For this relief much thanks: 'tis bitter cold, And I am sick at heart.
In this opening scene, we know a few things about these character's actions and a little bit about how at least one of them feels. Francisco does not see Bernardo well and asks him to "stand and unfold" himself. It is probably dark out, also evidenced by Bernardo's line "'Tis now struck twelve; get thee to bed". Francisco feels "sick at heart" and is happy to be relieved of duty. Stage directions abound.
In prose writing, dialogue can be either bogged down by "he said/she said" or with no designation of which character is speaking at all, which will thoroughly confuse a reader. Dialogue can be used to further the action and to describe what is happening physically in the scene through the actual dialogue or through designating what each character is doing in the designations.
If you do this, it makes for a much better dialogue experience for your readers and helps you get through passages of dialogue that would be otherwise boring or plodding.