What is a heading? How can it be detected? What version do you use? Can you post an example? Do you know that underlining can only mean another line of "-"signs and no formatting?
Questions Questions.....

And you hopefully know that UltraEdit is a text editor and in plain text files it is not possible to store hidden style informations like bold, underline, font size, etc. So you can only configure the syntax highlighting engine to display words (not phrases) with a customized style.

Or are you talking about underlining with character '-'? Yes, Bego has already written all the questions necessary to write a macro. A software like a macro needs rules.

Okay, now I have understood. You simply want to insert a line with '-' characters depending on the length of the current line. The following macro will do that.

The IfColNumGt 1 makes sure that the macro does nothing if the cursor is currently on an empty line.

The red highlighted part is just for security. It makes sure that the macro will also work when the cursor is on the last line of the file and this line has no line ending.

The rest is the real important part. The macro duplicates the current line, selects the duplicate without the line ending and uses an UltraEdit regular expression replace to replace any character in the selection with a '-'.

Note: The result will be wrong if the current line contains 1 or more tabs because every tab will be replaced only by 1 '-' instead of correct number of '-' according to current tab stop value(s) for that file.

ColumnModeOff
HexOff
Key END
IfColNumGt 1
InsertMode
UnixReOff
IfCharIs 13
Else
IfCharIs 10
Else
InsertLine
Key UP ARROW
EndIf
EndIf
DupeLine
Key HOME
IfColNumGt 1
Key HOME
EndIf
StartSelect
Key END
Find RegExp "?"
Replace All SelectText "-"
EndSelect
Key HOME
EndIf

Add UnixReOn or PerlReOn (v12+ of UE) at the end of the macro before command EndIf if you do not use UltraEdit style regular expressions by default - see search configuration. Macro command UnixReOff sets the regular expression option to UltraEdit style.

Okay, here is a macro which inserts a line below with preceding spaces to start of the current selection and '-' for every character of the selection.

Again if there is anywhere 1 or more tabs in the current selection or the line part before the selection, the result will be not correct because every tab will be replaced by only 1 '-' or ' ' instead of correct number of '-' or ' ' according to current tab stop value(s) for that file.

The macro is quite more complicated as I first thought because I don't know your version of UltraEdit. So I was forced to use no v11+ features.

Also the macro should work on the last line of the file even when it has no line ending. That requires extra code.

And last I didn't know if you have actived Configuration - Miscellaneous - Home Key always Goto column 1 or not and some other configuration settings could also have an influence on the result of the macro. Therefore I have written the macro using a method which hopefully works with all possible UltraEdit configurations.

The macro property Continue if a Find with Replace not found or Continue if search string not found must be checked for this macro.

IfSel
InsertMode
ColumnModeOff
HexOff
UnixReOff
Clipboard 9
Cut
"
"
Key UP ARROW
DupeLine
SelectLine
Find RegExp "?"
Replace All SelectText " "
EndSelect
Key UP ARROW
Key DOWN ARROW
Paste
"
"
Key UP ARROW
SelectLine
Find RegExp "?"
Replace All SelectText "-"
EndSelect
Key UP ARROW
Key DOWN ARROW
StartSelect
Key END
CutAppend
IfCharIs 13
Delete
Else
IfCharIs 10
Delete
EndIf
EndIf
Key UP ARROW
Key BACKSPACE
Key UP ARROW
Key END
Paste
ClearClipboard
Clipboard 0
Key DOWN ARROW
Key END
Key UP ARROW
EndIf

Add UnixReOn or PerlReOn (v12+ of UE) at the end of the macro before command EndIf if you do not use UltraEdit style regular expressions by default - see search configuration. Macro command UnixReOff sets the regular expression option to UltraEdit style.