|It can be done 2 ways:|
You can use the PROPER function in another cell:
Or you could use a Worksheet_Change macro:
Private Sub Worksheet_Change(ByVal Target As Range)
Target = Application.WorksheetFunction.Proper(Target)
Note: This code is extremely simplified, has no error checking, only works on one cell at a time, etc.
I'm not sure how interested you are in using a WorksheetChange macro to accomplish your goal, so I kept it simple.
Let me know if you are interested.