Well, I'm not overly fond of any of the ways you posted. If I were to write that sentence I would go for: "Watch the face, I don't want to..." She caught the ball and threw it back, "get it bruised." The way you have it written in the examples implies that you want the first bit of speech to happen, followed by the action and the second bit of speech, which happen simultaneously. You also want to imply that there's a brief pause between the two, where the character pauses to catch the ball and prepare her throw, which is then followed by the throw itself and her reply. That's the purpose of the ellipses; to show a short pause between pieces of dialogue (or a trailing off of words, but that's entirely contextual and not relevant in this case). Anyway, that's how I'd write it.