Use of the PROPER Worksheet Function is a correct answer, but
I expect you would be better off using a macro to change the text
values of the cells where they reside rather than introducing extra
columns or cleaning up after by converting to text then removing
the original cells. See
http://www.mvps.org/dmcritchie/excel/proper.htm
the use of a macro gives you additional advantages as well in
being able to capitalize IBM as a corporate name not capitalizing
certain words within "The Wind in the Willows". Also the
ability to include name like my own as McRitchie, which would be
common in my own stuff, or to be able to manually correct after
running a macro to exactly what you want for a few exceptions.
Actually am curious why you said "each word of a phrase"
instead of just "each word". If it is just the first letter of sentences
and certain combinations of words then the macro page would still
be of assistance but you would have to do some customizing -- which
is certainly an advantage of macros in that they put you in control to do
what you want.