Hi Zhou, as a rule interneurons have shorter axons, when compared to the principal (projections) neurons. They unlikely to travel on a long distance and therefore are not myelinated. Although, recently, long projections have been described (http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2718779/). You might want to look into that. I expect that those might be myelinated.
Hello Zhou. Seems to be that indeed, the intraneurons are myelinated, via recent publications . Here i left you this two references (sorry, i only got access to the first one), hope be useful in some way to you.
Shechter, R., Ziv, Y., & Schwartz, M. (2007). New GABAergic Interneurons Supported by Myelin‐Specific T Cells Are Formed in Intact Adult Spinal Cord. Stem Cells, 25(9), 2277-2282.
Neumann, S., Braz, J. M., Skinner, K., Llewellyn-Smith, I. J., & Basbaum, A. I. (2008). Innocuous, not noxious, input activates PKCγ interneurons of the spinal dorsal horn via myelinated afferent fibers. The Journal of Neuroscience, 28(32), 7936-7944.