Well, typically, underlining in a short story isn't very common. Usually, bolding or italicizing is used for emphasis. But if it makes sense for your particular style or needs, you could underline.
It depends. If you want to emphasize certain parts or make them stand out for a specific purpose, underlining can be helpful. But it's not a strict rule.
I wouldn't say there's a definite yes or no. It might be okay to underline if it serves a clear purpose, like highlighting key points or creating a visual effect you want. However, in many cases, other formatting options might be more conventional.