I was thinking of having three levels, each with it's own map. The Upperdark, Middledark and Lowerdark. In any case there would be variance in depth within a "level" as well, so color coding for depth seems like a good idea.
Well actually I'm not sure whether or not I'm going to use the drow in this setting, the primary inhabitants of my Underdark are dwarves and goblins. While we're on the subject how often (w/regards to distance) should settlements occur?