¡La Esquina de la Gramática! Rule 3

Foreign words and latinisms always in italic

All words from other languages and Latinisms non-adapted and included in a Spanish text should be written with any kind of graphic style that highlights its foreign nature with italics being the preferred graphic style, or between quotation marks as well.

On the other hand, adapted foreign words and Latinisms (those that fit the Spanish grammar or have modified their original spelling or pronunciation in order to fit the Spanish language) do not need to use any type of graphic style, and are subjected to the accent Spanish rules. For example:

Me encanta el ballet clásico / Me encanta el balé clásico.

Also, foreign expressions included in a Spanish text have to be written in italics or between quotation marks. For example:

Su bien ganada fama de femme fatale le abría todas las puertas.

The same rule applies to latin expressions, and accents should not be used because they don’t exist in the latin script. For example:

Así fue, gross modo, como acabó aquel asunto.

Source: http://www.rae.es