It depends on the specific style guide you're following. For some, no underlining is necessary. You might use italics or quotes, but check the requirements of your particular writing context.
Generally, underlining short story titles isn't common. The more typical approaches are to italicize or enclose them in quotation marks. However, different academic or publishing standards might have specific rules, so it's essential to refer to the relevant guidelines for accuracy.
In most cases, you don't need to underline short story titles. Usually, you can italicize them or put them in quotation marks instead.