This isnt really the intended use for site import.
if you are just trying to make a backup of your site, you should use an FTP program to download the actual site files.
site import is used to download the browser output of a site that you do not have physical access to. it will download the site files in the mush the same way as loading the page into the browser and going to File -> Save As.
It is not possible to have site import not convert the dashes to underscores.