🚀 go-pugleaf

Here you go. Just change the property to have the names of the paragraph styles on which you want the script to operate, and make sure there's a character style named Bold.

If you run it with a text selected, it will operate on the story that contains the text. If you run it with nothing selected, it will operate on the whole document:

property runinParaStyles : {"First", "Second"}
tell application "InDesign 2.0.2"
 try
  set myRange to object reference of parent story of selection
 on error
  set myRange to document 1
 end try
 set find preferences to nothing
 set change preferences to nothing
 repeat with myStyle in runinParaStyles
  set myParaStyle to (paragraph style 1 of document 1 whose name is myStyle)
  set myEms to search myRange for "^_" with find attributes {applied paragraph style:myParaStyle}
  repeat with myEm in myEms
   set myStory to object reference of parent story of myEm
   set myEnd to (index of character 1 of myEm) - 1
   set myStart to index of paragraph 1 of myEm
   set applied character style of characters myStart through myEnd of myStory to character style "Bold" of document 1
  end repeat
 end repeat
end tell

Like I said, this script will be obsolete with the release of ID CS, which will allow you to call for the run-in in those paragrah styles using a nested style.

Dave