Should I underline the title of a play?

I'm writing a "play report" as my instructor has put it, and we are using the MLA format. No title page is required but should I underline 'On Golden Pond' at the top of my report? or do it like I just did? Or should I italicize? I have my Little Brown Book, which is helpful, I'm just not certain about the beginning of the report. I just decided to go back to college at 30 and am a tad bit rusty. Also, it has to be 3-5 pages long and I'm not sure where he is going with it. Any ideas? Please help! thanks.