The following style guides all say to write foreign terms in italics, with some exceptions, notably those anglicized everyday words.
The Guardian style guide says:
Use italics for foreign words and phrases (with roman translation in brackets)
National Geographic's Style Manual says:
The following are printed in italic type without quotation marks:
Foreign words that have not become anglicized, on first use only, in text and legends. If the second use is different in number or gender and not readily recognizable, it too may be italicized:
e.g., kibbutz, kibbutzim; maama (mother), bamaam (mothers).
Anglicized words found in Webster's may be italicized for flavor.
Do not italicize personal names, place-names, peoples and tribes, institutions, holy days, festivals, money, and titles of persons.
Wikipedia Manual of Style says:
Wikipedia prefers italics for phrases in other languages and for isolated foreign words that do not yet have everyday use in non-specialised English. Use the native spellings if they use the Latin alphabet (with or without diacritics)—otherwise Anglicise their spelling. For example: "Gustav I of Sweden liked to breakfast on crisp bread (knäckebröd) open sandwiches with toppings such as messmör (butter made from goat's milk), ham (skinka), vegetables (grönsaker) like tomatoes (tomat) or cucumber (gurka)." In accordance with the guide to writing better Wikipedia articles, use foreign words sparingly.
Loanwords or phrases that have common use in English, however—praetor, Gestapo, samurai, esprit de corps, e.g., i.e.—do not require italicization. Likewise musical movement titles, tempo markings, or terms like minuet and trio, are in roman type. If looking for a good rule of thumb, do not italicize words that appear in Merriam-Webster Online.
If there is a reason to include native spelling in a non-Latin script, it can be placed in parentheses. Text in non-Latin scripts (such as Greek or Cyrillic) should not be italicized at all—even where this is technically feasible; the difference of script suffices to distinguish it on the page.