How do I enable automatic capitalization in OS X?
You can use a third party such as TextExpander ($35) for this. Paired with the right third party dictionary (TidBITS Autocorrect Dictionary), which is downloadable from within TextExpander, it corrects most of my typos that Mac OS X misses, as well as providing shortcuts for frequently typed snippets.

Using TextExpander just for sentence capitalization is a bit of overkill, but if you embrace it, you wind up with an excellent tool that you can easily adapt to your needs.