How common is this 'common practice'?  Could you point to some publicly available examples? Are there other languages that have built-in facilities for dealing with hexadecimal representations of integers in this way?

I think I've seen hex strings separated by spaces every four digits, and by spaces or colons every two digits (though the latter was usually used for something that's better seen as a sequence of bytes rather than a hexadecimal representation of a large integer).  I've rarely seen the underscore separation that you describe, but perhaps that's because I haven't been looking in the right places.

Do you have a concrete proposal for amending the formatting mini-language syntax to support this?  Perhaps you could run this past the python-ideas mailing list to try to get support and to thrash out the details of a possible specification?

To me this seems to be adding yet more complication to an already complicated formatting mini-language for something that few people will ever need, so I'd be -1 on this as it stands.