As a matter of style, many U.S. publishers follow the general rules given by the Chicago Manual of Style, fifteenth edition (2003) at 7.51, 7.53, and 7.54 under the heading "FOREIGN WORDS":
7.51 Italics. Italics are used for isolated words and phrases in a foreign language if they are likely to be unfamiliar to readers. [Examples omitted.]
7.53 Proper nouns. Foreign proper nouns are not italicized in an English context. [Examples omitted.]
7.54 Familiar foreign words. Foreign words and phrases familiar to most readers and listed in Webster are not italicized if used in an English context; they should be spelled as in Webster. ...
Guideline 7.54 is the relevant one for your question about sans—and any other arguably foreign word you might be thinking of using. If the word is in the English dictionary that you normally use (and it doesn't have to be a Merriam-Webster product, Chicago's wording notwithstanding), you may treat it as an adopted English word and thus as not requiring italics to indicate its foreignness. This certainly is the case with sans, which has been in use in English since the fourteenth century (according to MW) and appears in such memorable quotations as Jaques's speech about the seven ages of man, in Shakespeare's As You Like It:
Last scene of all,/That ends this strange eventful history,/Is second childishness and mere oblivion,/Sans teeth, sans eyes, sans taste, sans everything.
So if you're inclined to follow Chicago's lead on this question, have a dictionary handy when you prepare to use what may or may not be viewed as a non-English word.