October 24

With regard to English usage, Shoghi Effendi endorsed the capitalization of all pronouns referring to the Báb, Bahá'u'lláh, and 'Abdu'l-Bahá, as a mark of respect for the Stations of the Central Figures of the Faith. A letter dated 22 November 1949 written on his behalf states:

“In regard to your question about capitalizing the pronouns: the Guardian realizes this looks a little strange to non-Bahá'ís, but he feels we, being believers, and having the full sense of the Stations of the Central Figures of our Faith, should do this as a sign of respect under all circumstances.”

It can, nevertheless, be noticed in the Guardian's translations of Bahá'u'lláh's Tablets and Prayers, that sometimes he capitalizes "Me" and "My" and sometimes not, depending upon the context in which Bahá'u'lláh was referring to Himself; in humility towards God or in majesty towards mankind. 
(Memorandum to Universal House of Justice dated 23 May 1991 from the Research Department of the Universal House of Justice)