you could use the following regex to replace all instances, although i would recommend against blindly doing a global replace, better to go through one-by-one (more or less automated in Sigil with 'Search in all XHTML files' and then clicking 'Replace/Find Next').
Code:
find:
<u>(.*?)</u>
replace:
<span class="underline">\1</span>
then in your stylesheet you'd
Code:
.underline{
text-decoration:underline;
}
if you are using Sigil, remember to make sure the regex search is selected in the find/replace bar