Internal thoughts and italics -- various comments.
Underlining is one way of designating italics. It's a shorthand for the typesetter, and a holdover from typewriter days. Some publishers still call for it in manuscripts to designate words to be typeset in italics.
If the thoughts are internal, they are not spoken, and therefore should not be enclosed in quotation marks. Otherwise, the reader can quite easily mistake the thoughts for speech.
One can either use italicized, first person thoughts (in a third person POV) or paraphrase the thoughts. It depends on how these have been used in the bulk of the manuscript. If, out of the blue, one italicized first-person thought appears, it can be quite distracting. However, if you have set this up from early on, it can be quite effective.
Either
Ohmigod, John thought. She's gonna kill me.
Ohmigod, John thought. She's gonna kill me.
Or
John froze in midstep. She was going to kill him.
could be appropriate.
Mo