0. Install the GNU ELPA package caps-lock.
1. emacs -Q
2. M-x package-initialize
3. Start an SQL inferior process, e.g. with `M-x sql-sqlite RET test RET'.
4. In the *SQL: SQLite* buffer type `M-x caps-lock-mode' and at sqlite>
   prompt type "select * from".
=> The typed text appears as this: "SELECT * FRoM", with a lowercase "o"
   instead of an uppercase "O".

This is because sql-interactive-mode-map binds both "o" and "O" to the
command `sql-magic-go', but caps-lock-mode changes case only if the last
key event either invoked `self-insert-command' or
`isearch-printing-char' or if the command it invoked remaps
self-insert-command, and since neither is the case here, no case change
occurs.  (You can of course enter "O" by typing S-o, but caps-lock-mode
is supposed to obviate the need to do that.)  This problem also happens
with PostgreSQL and presumably other SQL interpreters supported by
sql.el (but I have only tested SQLite and PostgreSQL).

I have found two ways to fix this problem.  One is simply to add
`sql-magic-go' to the list `caps-lock-commands'.  In caps-lock.el this
is a defvar with the value '(self-insert-command isearch-printing-char).
Instead of just changing this value in the source code, I think it would
be better to make the variable a defcustom, since many packages bind
letter keys to commands other than `self-insert-command' but may
nevertheless want to change the case of these letters when
caps-lock-mode is enabled.  So it would be up to the user to add
`sql-magic-go' to the value.  Here's a patch that allows this (I don't
have a local clone of the GNU ELPA repo, so it's just a plain diff):