As you've heard me say before, dashes (hyphens) are better for SEO than underscores (and both are better than using no separators between words) IF you're creating brand new pages or you're changing your URLs anyway. There is a lot of risk involved with changing URLs, so don't add dashes if there aren't other reasons compelling you to change them.

So, if you are building a new site, redesiging your site, or adding new pages to an existing site, use dashes to separate words in your URL slugs (and follow all the other best practices we've laid out on Producer Exchange previously). Dashes are delimiters (so words in a slug are treated as separate words). If you're not making any other changes to web addresses, it's not worth tearing up your link structure to add them.

More info on how Google and Bing treat dashes vs. underscores.