To find text between underscores (which means it should be italicized), do these steps.

1. Go to Find/Change (command f)
2. Click on the GREP tab from the tabs at the top
3. Copy & Paste in this expression :

(?<=_).*?(?=_)

This will find text between underscores. If you create a character style for your italics, you can use Indesign’s Change Format option to apply that style to the text you find.