There are a variety of systems of capitalization. Whichever one you choose, the key is to be consistent in using it.
Here are examples of seven common systems for capitalization, with apologies to those who don't like Brussels sprouts:
1. THE VITAMINS IN MY FRESH BRUSSELS SPROUTS
2. The Vitamins In My Fresh Brussels Sprouts
capitalization of all words, regardless of the part of speech
3. The Vitamins in My Fresh Brussels Sprouts
capitalization of all words, except for internal articles, prepositions and conjunctions
4. The Vitamins in my Fresh Brussels Sprouts
capitalization of all words, except for internal closed-class words
5. The Vitamins in my fresh Brussels Sprouts
capitalization of all nouns
6. The vitamins in my fresh Brussels sprouts
sentence-style capitalization (sentence case), only the first word and proper nouns are capitalized
7. the vitamins in my fresh brussels sprouts
So there you have it. Now pick one and stick with it.