Code:

procedure TForm1.Edit1Change(Sender: TObject);

var

  OldChange: TNotifyEvent;

  OldStart: Integer;

begin

  with (Sender as TEdit) do

  begin

    OldChange := OnChange;

    OnChange  := nil;

    OldStart  := SelStart;

    if ((SelStart > 0) and (Text[SelStart - 1] = ' ')) or (SelStart = 1) then

    begin

      SelStart  := SelStart - 1;

      SelLength := 1;

      SelText   := AnsiUpperCase(SelText);

    end;

    OnChange := OldChange;

    SelStart := OldStart;

  end;

end;

Code:

procedure TForm1.Edit1KeyPress(Sender: TObject; var Key: Char);

begin

with Sender as TEdit do

   if (Text = '') or (Text[SelStart] = ' ')

     or (SelLength = Length(Text)) then

       if Key in ['a'..'z'] then

         Key := UpCase(Key);

end;