Here is a procedure that works for me with Excel 2003:
1) Create a new name for your function in the VBA Editor
2) Use the Insert...Function menu item (or the Fx icon) to enter the function in a worksheet formula
3) Fill in your input parameters and let the function calculate
You may now type a formula using the function, and the capitalization will remain set by whatever was in the original VBA code. This will remain true for that workbook even if you delete the original formula.
It is the alternative procedure of typing a formula using the function name that guarantees that the function name will be lower case letters. So don't do this.
Next, you may be wondering how to make it always be like this when you use the function in other workbooks. One approach is to install the function in a .xla with a worksheet containing the function in a formula. You can't see the worksheet, but Excel is aware of it--and will retain the capitalization the way you intend.