The answer to this questions varies somewhat dependent upon the citation style. Here are a few common styles but you should use the appropriate style guide or consult with a librarian to verify.
APA 6th edition: "Do not use italics for foreign phrases and abbreviations common in English (i.e., phrases found as main entries in Merriam-Webster's Collegiate Dictionary, 2005)." p. 105. ""In general, use italics infrequently." p. 104
Turibian: "Italicize isolated words and phrases in foreign languages likely to be unfamiliar to readers of English, and capitalize them as in their language. ... Do not italicize foreign terms familiar enough to appear in Merriam-Webster's Collegiate Dictionary." p. 312
MLA: "In general, italicize foreign words used in an English text. However, foreign words that normally appear in English need not be capitalized." p.79
