Go over it and over it and over it!
One lesson just doesn't do it! Even when I talk about caps and periods till I'm blue

in the face, kids have a hard time remembering to put it in their writing during WW.
This year I started doing LOTS AND LOTS of modeled and interactive writing. The kids bring their white boards to our group corner and they write on their boards what I write (or if its interactive, what their classmates write) on the big chart paper. This can be the morning message or language experience stories, or KWL, or innovations on texts....
Other posters on this topic have suggested going back and using red and green markers or highlighter tape and having kids mark the capitals at the beginning of sentences GREEN and the periods (or other punctuation) RED. The highlighter tape really makes the beginning and ends of sentences stand out.
Another great idea is to make overhead transparencies of kid's writing from WW--with their permission, of course. Read through the writing together (sounds like a mini lesson!) and use red and green vis a vis pens to mark beginnings and endings of sentences. I've read that it's a great idea to take someone's writing from another same grade level classroom, keeping the author anonymous and do the same overhead lesson. That keeps kids from your classroom from being put on the spot--but usually they are SOOOO excited to get their writing displayed using the overhead!
Before publishing after each unit of study, do a mini lesson on using red and green markers (or highlighter tape! Oh joy!

) to go back and mark caps at the beginning and periods at the end. That way you are revisiting this, in yet another way, about once a month.
I tell you, PT is such a GREAT place to think out strategies that you KNOW but don't always implement! No way am I doing ALL of the above mentioned strategies BUT I SHOULD BE!!!

The act of typing it out and posting it here is becoming a powerful thought-provoking tool for me to synthesize all I know and pull things together! YIPPEE!!!
Hopefully this helps YOU--I know it's helping me!

(Where the heck is the TURKEY icon????) Mal