I want to have a column in Calc that will convert my entries into caps. After entering the text I am able to select a column and convert everything into caps. I want not to do that step and have the original entries to be converted on the fly.
Type in uppercase… SCNR.
Writer has the font effect Capitals. Not so Calc.
But you can select a font that use all caps. E.g.: Perpetua Titling MT, Engravers MT, Algerian, Castellar, Felix Titling, Goudy Stout, Showcard Gothic, Stencil. Some are suitable for common text, and some are not.
You can make a internet search for “free all caps fonts”.
@erAck, Thanks for the dose of humor. 
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Also you may see OpenType features of a font that supports it (see Features button on Font tab; try with e.g. a Linux Libretine font).
I never saw it before. You need to change ‘caps’ Capitalization to Uppercase, it remain as a cell format.