is the title of a song underlined, put in quotations, or just left as is?

[?Jesus? ?Loves? ?You?]

when you put it in a sentence, for example, is it:

The song _Home_ by Three Days Grace was chosen for....

The song "Home" by Three Days Grace was chosen for....

or
The song Home by Three Days Grace was chosen for....
sorry for the strange sentence. i have to start the sentence like that for my assignment, and i wasnt sure how to word it differently.

[WoW god]

underlined and caps