If you can get the data into Excel you can use the "PROPER" function to change the data to have the first letter be uppercase and all other lowercase. If using this function on names, be aware MCNEIL will change to Mcneil, not McNeil.
To use this function, the easiest thing to do if put your mouse in the cell where you want the corrected data and type the following:
H14 is the cell where the all caps data resides.
Although it is required for bulk mailings to use all capital letters in the mailing, for regular mailings most foundations prefer to use mixed case. Thus it will be necessary to bring the addresses in in mixed case. When it comes time to export the FIMS data for use in a bulk mailing, on the mailing tab in the export there is an option you can check that will change all the letters in the address fields into capital letters.