CapsWiz can be configured to automatically control CapsLock and NumLock depending on the 'active' window (e.g. turns off CapsLock when switching to word processor, turns on CapsLock when switching to a database entry screen). Hot-keys allow 'correction' of text typed in other programs. Simply press the appropriate 'hot-key' to convert highlighted text to upper, lower, or even reversed case.
More info:
hxxp://www.barhamsoftware.com/CapsWiz/