This can be also achieved directly in Visual Studio. Just go to Tools -> Options -> Text Editor -> C# -> Code Style -> Naming.
- Firstly you need to define a new naming style by clicking the “Manage naming styles” button:

- Then click the + sign to define a new rule for “Private or Internal Field”, that uses your new naming style:

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Restart Visual Studio
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After that, when you apply the “Create and initialize field” refactoring, it will be named with a leading underscore.