Italicize foreign words. Right? Definitely italicize terms that have not been generally adopted in English: those that don’t appear in the Canadian Oxford Dictionary, if you’re editing for Canadian English. Not that French is a foreign language in Canada, we could probably be more precise than calling it foreign.
But what about those fields that are full of non-English words, such as ballet? If you were editing a work of fiction and ballet was a main theme, would you want to see pages full of en pointe, glissade, jeté, and plier? In the case of ballet, the problem is the words are unfamiliar technical terms. They actually make more sense in the French version than if we tried to anglicise them as on toe, slide, jauntily throw the leg, and bend. The “foreign” French term is clearer, when it comes to ballet.
Don’t italicise the grand rond de jambe, pas de deux, or any other ballet term.
“In certain subject areas where there are many French terms,” Editing Canadian English (ECE) says, “roman type may be used throughout.” It gives the specific instance of ballet, along with cooking and fencing—pracitces rife with le Français.
It goes on to advise that “roman type [not italics] may be used throughout individual works in general disciplines that contain a large number of French terms…” The reasoning being that they “may be easier to read without the constant visual interruption of italics.”
As for the French names of people, places, or organizations? No italics. Just no.
*A great starting point for identifying misused ballet terms is http://en.wikipedia.org/wiki/Glossary_of_ballet.