How to convert _ to \_

Consider using listings' \lstinline (experimental):

\documentclass{article}

\usepackage{listings}
\lstset{
  basicstyle = \ttfamily
}
\let\code\lstinline

\begin{document}

Some regular text.
Some \code{code} inline.
Then some \code{multiple_words} code word.

\end{document}