Here are a couple of instances of French words I need verification on: Are we to italicize "je ne sais quoi"? I actually found it in Merriam-Webster, which would mean English has adopted it like fiance or duvet, which would tell me we *don't* italicize it. But it just looks weird on the page not to italicize it. Also, I'm guessing we italicize names of wines in French, too? And do not capitalize each word? I know this last one seems like a stupid question, but for some reason my mind is raising a fuss. Dunno why.
. If I read a foreign phrase as you've described, I would expect to see it in italics, pas comme un mot Ă©tranger qui... had been adopted into English e.g. restaurant, caveat emptor, bon voyage, prima donna etc. A non-adopted word I'd expect to see in italics. 'ArrĂȘtez!' shouted the Gendarme. French wines? Capitalise proper nouns as normal. Often the label is a grape variety e.g. merlot and cabernet sauvignon.