I underline in pencil, always in pencil, because a pen commits you to a judgment you might revise. Half the sentences I underline on a first read don’t seem worth it on a second.
What I’ve noticed is that the underlining itself is doing something — it’s slowing the eye down just enough that the sentence has to be considered rather than absorbed. The mark on the page is almost incidental. The real effect happens in the half-second before the pencil moves, when you have to decide whether this sentence earns the pause.
I don’t go back and re-read my underlines often. That’s not really the point. The point is the pause — the same pause I was trying to describe in Morning light and early birds, just applied to a page instead of a sky.