>I want to add method to my grid class, which allows me to change captions in all columns of the grid to be proper of the original content, i.g.

In the Init() of the Grid (or after the captions have been built) do:

for each loColumn in This.Columns &&This = the grid
	loColumn.Header1.Caption = Proper(loColumn.Header1.Caption)
endfor

Does this work?