Is it ok if i use the underscors in my code

I mean is it ok if i use a two underscores for the classes e.g. __MyClass or single underscore for the func e.g. _MySharedFunction etc.

I mean is there any issue with the underscores?

I usually use Pascal Case for naming classes..

Design Guidelines for Class Library Developers

There will not be any Issue. But, its not common practice to give names like this to Class and Function. _ (underscore) is used for Private variables of class in general. 

Means as long as i keep it consistent and as long i understand my code there will not be issues?

No there can never be issue with the naming style of the classes or function or variables and so on.

Its the matter of following Common Naming Convention.