Select the lyric. Clicking the lyric again should put your cursor back in the lyric, and you can drag to select the individual letter. Then, go to the Text menu (NOT the lyric menu) and select Style > Underline. Or, select the letter, and (on a Mac) Shift-Command-U. (I'm sure Windows has a similar shortcut.

Supplying info to that:

If you go to

Document menu > Document Options > Lines & Curves

you can adjust the underline’s Depth and Thickness.

Thank you Mike and Peter. Problem solved!

Bruce Siegel