I'm not sure if anyone can give you something carved in stone here, but I went to the trouble of checking a number of sources on this. The general consensus seems to be...no. According to the majority (not all, but most) of the sources I checked, there's no need to italicize per se because it has settled into and taken up permanent residence in the English language. Personally, I tend to agree with this because I rarely see it italicized in any sort of writing. Occasionally, but not often.
Sorry I can't give you the Holy Grail here. It appears to be your choice. Based on my brief research, however, I would not. Just be consistent, whichever you choose.
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