Install AutoHotkey and then create a file called Underspace.ahk with this content:
; Underspace for AutoHotkey
; Converts Shift+Spacebar to underscore
+Space:: Send _
Try Shift+Space and it should type an underscore for you.
If you want to stop the script later, find a green "H" in your system tray and right-click it.
After you try it, I'll be curious how it works out for you. Myself, after trying it for just a minute or two, I'm not so sure if I like it. I'm finding a lot of spurious underscores before capitalized words, or after a word like "I" that ends with a capital letter. That's because I've been sloppy about the timing of when I press the Shift key before or after a space.
So I won't be using this script myself (not that I need it - I don't like to code using names_with_underscores) but maybe others will find it useful.
 AutoHotkey home page: http://www.autohotkey.com/
 AutoHotkey_L: http://l.autohotkey.net/
(minor edit for clarity)