In a screenplay, the name appears in all caps the first time a character is introduced in the "Action." The character's name can then be written normally, in the action, the rest of the script.
For Example: The limo pulls up to the curb. DAISY, an elderly woman sits in the car as MORGAN, the driver, steps out and opens the door for her. Daisy is dressed in evening-wear, ready for an Opera.

Character's names always appear in all CAPS when speaking.
For Example:

DAISY
You've been a darling, Morgan. Here's twenty dollars.