There has been a lot of questions of whether or not to use a Hyphen in your url or an underscore. If you currently use the underscore and its working for you, then leave it by all means. If you are starting a new site, and trying the make the choice between the 2 options, go with the Hyphen. The hyphen helps Google seperate the words. There is not penalty on using either option, but the Hyphen is the recommended go to choice.