as I said I'm new to photography, so I've still not understood
entirely this tecnique because I can't seem to set the
underexposure setting (meaning the bar on the -2... 0 .....+2) to
what I desire. This is bringing some confusion to my head.
I set up the photos to RAW, also ISO1600.
In M mode I set the camera to 1/125 and then to 4.0. Now depending
what I'm focussing, dark or lighter subjects the underexposure bar
on the -2... 0 ....+2 wanders freely....
what I do next?
I think the technique is easiest and makes the most sense in Av mode. You're probably trying this since the aperture can't open any further anyway, and you can't bump the ISO more directly.
Set RAW & ISO1600.
In Av mode, dial aperture wide open. Press and hold the exposure compensation button while dialing it to -1 (or -2 or whatever). The camera will automatically select the shutter speed to result in an underexposure by however many stops you've told it to.
Trying to do this in M mode would be a major nightmare, as you're assumably in relative darkness and / or having some weird and varying low-light conditions, and probably a moving subject, too. Use Av so that once aperture is set, shutter speed is the only variable, and the camera adjusts it for you.
If you trust the camera to tell you what the degree of underexposure is, trust it to just set the resulting shutter speed for you, too. If you're in M and using the meter, it's the shutter speed you'll dial in by hand on your own anyway.
Sooooo.... Use Av mode, open aperture all the way, dial in the negative exposure compensation, set ISO1600, and shoot RAW. If this doesn't make sense, there are other basic / normal things with the camera to learn how to use before trying to fudge around the camera's limits.