Good Skin URL's
Design and Skin Customization
I agree with you - using hyphens versus underscores is probably way, way down on the list of things that might play a tiny role in your SERP rankings. However it's really not a big deal to use hyphens versus underscores, so if it makes users happier then why not.
For the most part, all that needs to be done is to find template names that have underscores in them and just change them to hyphens, then update any URLs that have that template in it to be the new name.
