This should do it, when the foot note is added it should already be itallic! I also added a space after the comma ready for the next footnote.
Sub AddFootNote()
NewFootNote = Selection & Chr(44) & Chr(32)
With Selection
With .FootnoteOptions
.Location = wdBottomOfPage
.NumberingRule = wdRestartContinuous
.StartingNumber = 1
.NumberStyle = wdNoteNumberStyleArabic
End With
.Footnotes.Add Range:=Selection.Range, Text:=NewFootNote
End With
End Sub
-edit-
If you want to ensure your foot notes are italic you can add this part.
With ActiveDocument.Styles("Footnote Text").Font
.Italic = True
End With