I always do it using anchored frames.
First define text frame object (with paragraph style) as nonprinting object and anchor this object to you chapter title, paste to it text you want to use as your running header, and define you text variable to get your header form this object.
More difficult is how to italicize one word of running header
Very nice, thanks. They should really give you an option to do this though as a default.
Does this mean that I have to set up a similar box for every heading thereafter? Even the ones that are not too short in the first place?
Yes, but it is only ^C&^V