How to enter a tab char on command line?

Since this question is tagged "bash"... using the "ANSI-C quoting" feature of the Bash shell is probably preferable. It expands ANSI C-style escape sequences such as \t and \n and returns the result as a single-quoted string.

echo $string | sed $'s/_/\t/g'

This does not rely on your terminal understanding the Control+V (insert next character literally) key binding—some may not. Also, because all the "invisible" characters can be represented literally, your solution can be copy-pasted without loss of information, and will be much more obvious/durable if you're using including this sed invocation in a script that other people might end up reading.

Also note that macOS's version of sed is the BSD version. GNU sed will interpret character escapes like \t in the replacement pattern just fine, and you wouldn't even need above workaround.

You can install GNU sed with MacPorts, and it should be made available as gsed, but Homebrew might supersede your system's sed depending on how you have your $PATH variable arranged.

Precede it with Control + V, followed by Tab to suppress the usual expansion behavior.