There is no correct answer. The small case letters are a latter development, but they have become standard. Capitalizing the first letter of certain words is really a type of concession to English usage which some (a minority, I think) editors prefer. I would not capitalize the sigma. You certainly do not have to.
fallenhunter wrote:Also, can τετέλεσται be printed vertically and still be read properly?
Sure, I think it making a cross of the two words would look cool and would be theologically indicated.