Google says that for the most part hyphenating is not necessary for them to tell which two or three words are run together in a URL. Here’s an except from their official Webmaster Central Blog written on January 22, 2008 by Michael Wyszomierski:

“Webmasters asked about the difference between how Google interprets underscores and dashes in URLs. In general, we break words on punctuation, so if you use punctuation as separators, you’re providing Google a useful signal
for parsing your URLs. Currently, dashes in URLs are consistently treated as separators while underscores are not. Keep in mind our technology is constantly improving, so this distinction between underscores and dashes may decrease over time. Even without punctuation, there’s a good chance we’ll be able to figure out that bigleopard.html is about a “big leopard” and not a “bigle opard.” While using separators is a good practice, it’s likely unnecessary to place a high priority on changing your existing URLs just to convert underscores to dashes.”

Personally, I recommend avoiding underscores, as they are very difficult to discern when the URL is underlined as a link.
Thanks,
Mary