I don't write in ALL CAPS, but I do have to type code where some constant like SERVER_RETRY_TIMEOUT will be in all caps. So I do use my caps lock key a lot.
I don't do this, for some reason. And it makes some sense, because in the case of underscored names on US layout at least, I'm going to be doing shifting inside it anyway, and I'll have to time it right or I'll get uncapitalized letters on either side of the underscores. So I just hold shift the whole way through, switching which hand is shifting if needed.
Maybe I'd use a "shift lock" that's cancelable by holding shift, but since I've recently mapped Caps Lock to Esc and want to keep that, I guess I'd have to make the Esc key into shift lock. Esc is kind of distant, but maybe worth it to avoid RSI typing 10+ character-long sequences holding shift the whole time...
And in shells. Alt-u uppercases the word following the cursor with vanilla bash+readline everywhere I've tried. So the sequence would be to type "server_retry_timeout", Ctrl-a to jump to beginning of line, Alt-u-u-u to uppercase the next three words.