Sub SpaceToUnderscore()
Application.ScreenUpdating = False
Dim StrFnd As String, StrRep As String
With Selection.Range
  StrFnd = Trim(.Text)
  .Case = wdTitleWord
  StrRep = Replace(Trim(.Text), " ", "_")
End With
With ActiveDocument.Range
  With .Find
    .ClearFormatting
    .Replacement.ClearFormatting
    .Text = StrFnd
    .Replacement.Text = StrRep
    .Forward = True
    .Wrap = wdFindContinue
    .Format = False
    .MatchCase = False
    .MatchWholeWord = False
    .MatchWildcards = False
    .MatchSoundsLike = False
    .MatchAllWordForms = False
    .Execute Replace:=wdReplaceAll
  End With
End With
Application.ScreenUpdating = True
End Sub