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First off, as has been pointed out in at least on other answer, romanize (or pinyinize, or hepbunize, or whatever other term you want to use) everything if the book is in English. English speaking...
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#3: Attribution notice added
Source: https://writers.stackexchange.com/a/37764 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#2: Initial revision
First off, as has been pointed out in at least on other answer, romanize (or pinyinize, or hepbunize, or whatever other term you want to use) everything if the book is in English. English speaking readers are more likely to get cross-lingual jokes this way (your 'he he' example would not need to be explained if romanized for example), and it also makes it much easier on the readers (and the printers). Beyond that though, don't try to explain this type of thing unless it's critical to the story. Humor in the form of puns or wordplay does not translate well unless you get really lucky, as it usually relies on peculiarities of the source language's vocabulary or phonetics (Wikipedia actually has a number of good examples for puns and wordplay in their article on [untranslatability](https://en.wikipedia.org/wiki/Untranslatability#Poetry,_puns_and_wordplay)). Because of this, translations will usually either end up changing meaning (which is very bad), or will spend way too much time explaining the joke, which just detracts from the story itself. The explanation will usually distract most readers without contributing much, and not explaining it leaves the joke as a bonus for people who just get it.