If you really wanted to get creative, you could do this with the API. You could have a script that runs on a cron schedule (say, daily) and looks at all the new leads for that day. It could take all of their names, lowercase them, then just capitalize the first letters, and then update the record. You'd have to build in some logic if you really wanted to make it work well, so that you're not screwing up names that are formatted fine and don't follow the very basic rule I outlined above. All in all, this is probably not worth the effort, but it might be fun to try.
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