Book titles are italicized. If you are using a typewriter and can't write in italics, then it is customary to underline the title. Same applies to plays. Titles of poems, short stories, essays, and other short pieces are set off in double quotes. George Orwell's "Shooting an Elephant" would be in quotes, since it is only an essay. Commas and periods go inside the closing quotation mark, as for example with Orwell's "Shooting an Elephant." The English do it differently and this can create some confusion, but observe the usage in American publications.
It occurs to me that you might be referring to a collection of essays by Orwell in a book that just has the title Shooting an Elephant derived from the title of the essay. If it is a book title it should be italicized.
I have copied some examples in the links below.