The Emphasis style is a built-in character style, which is Italics by default.

I don't have the Mac version but I'm sure the option for fonts and styles in Replace is there.
Get the Replace dialog up and look for a More button; click on it.

Look for the Format button.

Clicking on it should give you choices including "Font" and "Style." You would use Font in the Replace box to give you Italics. Instead I am suggesting using Style and selecting the Emphasis style. By default this is Italics. Doing this gives you the option of later changing how you want the word emphasized, i.e. a different color or underlining or even a different font, by modifying the style in your document.