When writing the name of a theory in an essay do you underline it?

You don't underline the name of a theory in an essay. Here's the correct way to format them:

* Use italics for the names of theories: For example, *Einstein's Theory of Relativity*, *String Theory*, *Game Theory*.

* Capitalize the important words in the theory's name: For example, *Theory of Plate Tectonics*, *Big Bang Theory*.

Why not underline?

Underlining is an older formatting style mainly used for typed documents before computers became common. Italics are the preferred format in modern writing, especially for academic work.