Suppose you type “The Quick Brown Fox Jumps Over The Lazy Dog” (note how each word is capitalized). Now select what you've just typed and click on the little arrow in the bottom right corner of the Font panel and check the ‘small caps’ option. Your text will now be converted to “THE QUICK BROWN FOX JUMPS OVER THE LAZY DOG”. That’s all there is to it. If you set the ‘small caps’ option at the outset, everything you type will be formatted that way until you uncheck it.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]