Generally speaking, when so-called is used as an adjective (“I blow my nose on you, so-called Arthur King, you and your silly English K-niggets”) then you hyphenate. It's an adjective phrase, modifying the noun that immediately follows.

Why is so-called hyphenated?

Generally, hyphenate two or more words when they come before a noun they modify and act as a single idea. This is called a compound adjective. The usage that you suggest is as an adjective that modifies a noun: That so-called builder doesn't even know how to mix cement!

Is it rude to say so-called?

If used on something generally considered positive and desirable, the phrase "so-called" evokes a rhetoric of falsity or fraud in the thing being referred to, which is a negative connotation as you said.