If you're going to use the worksheet formula, you could insert a helper column
adjacent to the column that you want to convert.
Then put this in the first cell in that column:
=proper(a1)
(adjust the range to point at the first cell that needs to be converted)
Then drag that down as far as you need.
Then if you want to keep the helper column, you can convert it to values by:
selecting it.
Edit|copy
then select the original column and
Edit|paste special|values
Then delete that helper column.
This will convert any formulas to values (in that column), so be a little
careful.