Are you talking about this being in the standard text messaging app, or in another app? Or are you trying to set it up to be that way for the whole thing, which is done within the keyboard.
1. You are going to want to go into "Settings" and then scroll down to locate the "Personal" section.
2. Next tap "Language & input" and then tap "Settings" icon for that keyboard. The one you wish to make the change with. If you want to do it with all the ones you have listed, you will have to make the change within each individual one.
3. Now tap you will tap either "Preferences" or "Text Correction", depending on how your device is set up.
4. In which ever one it is, you would make sure the box is 'checked' next to "Auto capitalization".
5...