When you replace a "saved group," you can specify
\U to make ALL letters capitalized,
\u to capitalize only the first letter of the first word, and
\L and
\l to make them lowercase (in the same format/manner).
You would search for
^("[^"\r]*",|[^,"\r]*,)("[^"\r]*",|[^,"\r]*,)("[^"\r]*",|[^,"\r]*,)
and replace it with
\u\1\2\u\3
Of course, you will want to manually check that someone's name SHOULDN'T start capitalized (some foreign names like duPont or vonTrapp, for example), but that can be left up for an exercise for the reader ;-)
-Steve