Not sure how to do what you ask with VBA in Word, although there is probably a way. But you might be better served using a type setting program like LaTeX. I myself don't have any experience with this program, but I think it will do basically what you want (although you might need to replace the "_" with a different symbol).

If the document isn't really long, it might be better to just do a Find for all underscores and do direct formatting to the text you want italicized. Not as elegant, but many times a quicker approach.