Klingon written using the Latin script represents spoken Klingon, not actual Klingon writing. The strange capital letters are meant to be cues to the actors speaking Klingon lines that the sound the letter represents is not what a speaker of American English might expect it to be.
Later, Okrand uses other, nonstandard letter capitalization to represent the sounds of nonstandard dialects. For instance, speakers of the Krotmag dialect of Klingon pronounce what would normally be a retroflex D as a retroflex N, even though standard Klingon has an alveolar n and no retroflex N. Most non-Krotmag Klingons won't be able to hear the difference, so they'll think a Krotmag Klingon saying nuj mouth and Nuj vessel (standard pronunciation Duj) is saying the same word twice.
Basically, always capitalize exactly as shown. Don't capitalize the beginnings of sentences or names or anything that isn't supposed to be capitalized, and don't make lowercase anything that is supposed to be capitalized.