Word doesn't have the ability to assign all-caps format to ListNum fields (which is what Snapnumbers are), so you need to use a work-around to accomplish this.
1. Click the Headings button (in the Convert section of the Snapnumbers ribbon). This associates the Snapnumber scheme with Word's heading styles.
2. In the Snapnumber Scheme screen, select the "First, Second…" format for whichever level you want it.
3. Also in the Snapnumber Scheme screen, for that same level, turn on the "All caps in heading style" checkbox. (The reason it says "All caps in heading style" is because it only affects autonumbers within heading styles.)
4. Wherever you want a FIRST, SECOND… autonumber to appear, use Word's heading style for that level instead of inserting a Snapnumber for that level (because Word is capable of adding all-caps format to autonumbers in heading styles, but incapable of doing it in ListNum fields).
tags: how to, capitals