It has become the most common practice to write i dag/i morgon/i kväll etc as one word during the last decades. I do so, in all kinds of text. Very often (in sms/chat) I abbreviate "imorgon" into "imorn" (since i would pronounce it like that). Many people even write "imon".
For some reason (historical reasons) you seem to consider these words to be names ('proper nouns') in English, but in Swedish, we don't. Most other languages don't either. Some languages, notably German, capitalize all nouns. Basically it's a question of spelling conventions, in many cases decisions that were made way back in history.
I hope this helps: Monfay is a day of Moon, måndag; Tuesday is a day of Tew, tisdag; Wednesday is a day of Woden/Odin so it's önsdag; Thursday is a day of Thor, so naturally it is torsdag; Friday os a day of Friga, fredag; Saturday is a day of Saturn, but it is bath day in Scandinavian; Sunday is a day of Sun, higher god in pagan myhology.
You can say it either way. The g in fredag tends to be heard at least whenever one tries to speak a little extra clearly. It usually isn't heard in normal casual speech, but there's absolutely nothing wrong with pronouncing it either. It's not really like a liaison but it's probably more likely to be heard before a vowel than before a consonant.
PS the g is always heard in forms like fredagarna where there's a vowel after in the same word (unless we swallow the entire following syllable and pronounce fredagen as fredan, which is very common in some words), but in compound words starting with fredags- it usually isn't heard. So to some extent it does matter whether there's a consonant sound after it or not.