Since Underscore version 1.7.0, you can use _.pick:
_.pick(sourceObj, _.identity)
Explanation
The second parameter to _.pick can be a predicate function for selecting values. Values for which the predicate returns truthy are picked, and values for which the predicate returns falsy are ignored.
pick _.pick(object, *keys)
Return a copy of the object, filtered to only have values for the whitelisted keys (or array of valid keys). Alternatively accepts a predicate indicating which keys to pick.
_.identity is a helper function that returns its first argument, which means it also works as a predicate function that selects truthy values and rejects falsy ones. The Underscore library also comes with a bunch of other predicates, for instance _.pick(sourceObj, _.isBoolean) would retain only boolean properties.
If you use this technique a lot, you might want to make it a bit more expressive:
var pickNonfalsy = _.partial(_.pick, _, _.identity); // Place this in a library module or something
pickNonfalsy(sourceObj);
Underscore version 1.6.0 provided _.pick as well, but it didn’t accept a predicate function instead of a whitelist.