When in doubt, do what the masters did.

Some examples:

Raoden breathed a sigh of relief. "Whoever you are, I'm glad to see you. I was beginning to think everyone in here was either dying or insane."

"We can't be dying," the an responded with a snort. "We're already dead. Kolo?"

"Kolo." The foreign word was vaguely familiar, as was the man's strong accent.

(Brandon Sanderson, Elantris, chapter 1)

No footnotes, no inline translation. The fantasy-language word is understood from context.

'O Fair Folk! This is good fortune beyond my hope,' saod Pippin. Sam was speechless. 'I thank you indeed, Gildor Inglorion,' said Frodo bowing. 'Elen síla lúmenn' omentielvo, a star shines on the hour of our meeting,' he added in the high-elven speech.

(J.R.R. Tolkien, The Lord of the Rings, book 1, chapter 3 - Three is Company)

The translation is provided by the narrator, without breaking the flow of the narration.

When he saw Strider, he dismounted and ran to meet him calling out: Ai na vedui Dúnadan! Mae govannen! His speech and clear ringing voice left no doubt in their hearts: the rider was of the Elven-folk.

(ibid, chapter 12 - Flight to the Ford)

No translation, readers can only guess at the meaning, beyond the general "hello".

Those examples have a commonality: none use footnotes. Why? @Amadeus is exactly right on this - because a footnote takes the reader out of the flow, it breaks the immersion in the story. It makes the reader stop, and go look at something else. It's an interrupt in the thought process. A stumble in his journey. Footnotes may be used when this is the effect you want to achieve. For example, Sir Terry Pratchett made use of footnotes for comedic effect.

What then instead of footnotes? Which example fits best what situation?

If the general meaning of the foreign word(s) can be understood from context, translating is redundant. There is therefore no need for translation in the Brandon Sanderson example. The example you provide is similar - the fact that 'sahu' is a curse can be inferred from context. The specific meaning thus becomes unnecessary.

If the general meaning cannot be inferred from context, does the POV character understand the meaning? If he doesn't, we probably shouldn't either. If he does, and if the story has something to gain from the translation, the first Tolkien example shows how a translation can be added without breaking the flow of the narration. In the second example, we do not understand the phrase, but nor do we need to. It's a conversation we're not meant to intrude on, only see that it is happening. (Also, it contains a spoiler.)

Footnotes are sometimes a good solution and sometimes a bad one; it depends greatly on the tone you want to set. In fact, I'd say the question you want to answer is why your characters should speak another language at all. (The solution with italics would be very confusing—I don't think I've ever seen it done.)

Footnotes will be a momentary distraction to the reader, but will let you specify the word exactly. Terry Pratchett used them extensively, and you can tell he would sometimes make up a word just for the sake of having a footnote that explained it. Guards! Guards! has quite a few examples of this. However, when he uses considerably more made-up words in The Fifth Elephant, he instead uses them with no explanation, or with minor explanation from other characters in the text. They're used there to emphasise that there is a language barrier, and translating everything for the reader would not help with that.

Looking more broadly, in my experience fantasy authors will typically leave the meaning of the terms up to context, or explain them in the narration. If you'd like to see some examples, Brandon Sanderson and Patrick Rothfuss both invent quite a few words. J.R.R. Tolkien is another prominent example, although he does not use them in dialogue all that much and mostly sticks to a fairly small set that are used frequently (despite having considerably more available to him).

Something to keep in mind is that your situation is very different than when people insert terms from some existing language into their book, as Russian authors in the 19th century tended to do with French. These will often be translated in footnotes these days, but it was assumed the reader would know what they are when the books were written. As such, I would be careful of looking at these examples.

EDIT: Oops, I hadn't realised you used a real language—though I wouldn't expect your readers to know Sanskrit, so the situation is pretty much the same. In this case, it sounds like you want your character to appear strange, even by the standards of that world. Adding footnotes to explain things wouldn't improve that effect, so there's no need to. If anything the character says has to be understood (important directions, etc.), you can have a character translate it—after all, supposedly there's someone else who also cares about what it means.

It All Depends on the POV.

I would use ZERO footnotes in a fictional novel. I think it may have been done, but I think it breaks the reader's reverie and immersion in the story. It is bad form. The same goes for translating in italics, it isn't clear that is a translation, especially if it doesn't happen often.

It all depends on the POV.

If this is the MC and we are privileged to his thoughts, then his thoughts can do the translate for us. But if we (readers) are following somebody else, we should not be privileged to any more information than that POV; and if she doesn't understand "sahu" or that she's been called a pig, then too bad for the reader, they don't get to either. She would understand she's been threatened and likely insulted, and that's enough.

If you are writing in omniscient mode, then the narrator knows what sahu means, and can mention it in prose. I think the literalness of an insult is not important to the reader's comprehension here, almost anything could be substituted for "pig," like "cockroach", "dumbass", etc, without changing the emotional impact at all.

For what it's worth, I also would not put it in all caps; See Manuscript Format for Novel Submission. Publisher's expect emphasis or stress in italics, and specifically do not like ALL CAPS.

I would recommend just leaving it completely untranslated and let the reader pick up the basic meaning from context. In this case, we only really need to know SAHU is an insult and the direct translation is unimportant.

If it is important for the reader to know what a single specific word means, just have another character ask, what you mean by SAHU? Or have the character to say the foreign word and then search for an English equivalent. Those should be used very sparingly though as it would quickly get tiring.

I took riding lessons from a Polish gentleman - former lieutenant in the Polish Cavalry, spent time as a Vaccaro so his credentials were impeccable.

Occasionally, when we were not picking up what he was putting down, he would start to speak Polish. It was our assumption that he was swearing or at the very least, extremely frustrated with us. We would try that much harder to please him. He was an excellent instructor.

Have your character swear in whatever language you choose. The sudden insertion of a word the reader does not know but clearly is of another language - real or imagined - comes across as an insult or swearing.