In English, people often capitalize every word in a foreign title, and you can apply that rule without talking about Japanese specifically at all. Of course, different people use different styles! Here's what I'd do:
Capitalize everything except function words (particles, conjunctions, etc.). If a function word is the first word, or if it's long (6+ letters-ish), capitalize it anyway.
That's just me, personally.
Although there are official guidelines for romanizing Japanese, I couldn't find any official Japanese guidelines that addressed capitalization as well. That doesn't surprise me—when Japanese titles are written in Japanese, it's almost always with kana and kanji. In other words, although Japanese speakers are of course familiar with romanization, the question doesn't really come up that often in the context of the language itself.
However, you might find the ALA-LC romanization interesting, as it addresses capitalization specifically and is an official system used by North American libraries including the Library of Congress, and in fact is used outside North America as well. (Further ALA-LC romanization tables can be found here.) Since it's not copyrighted, I'll reproduce it here:
(a) Capitalize each word of a personal name, except the particle no.
Sugawara no Takasue no Musume 菅原孝標女
(b) Capitalize title and terms of address, except when consisting of a single character or kana for san, sama, chan, kun, etc., that is hyphenated following a personal name. [...]
Kōbō Daishi 弘法大師
Naikaku Sōri Daijin Tanaka Kakuei 内閣総理大臣田中角栄
but Okiku-san お菊さん
naikaku sōri daijin (as a generic noun) 内閣総理大臣
Place Names: Capitalize each word of a geographic name.
Nihon Rettō 日本列島
Bōsō Hantō 房総半島
Corporate Names: Capitalize each word of a corporate name, except particles and conjunctions.
Sensō o Kirokusuru Kai 戦争を記録する会
Nihon Rikugun 日本陸軍
Chuō Kōron Shinsha 中央公論新社
but Chuō kōron (journal title) 中央公論
Documents and Publications:
(a) Capitalize the first word of the title of a publication (book, periodical, series, etc.)
Chūō kōron 中央公論
(b) Capitalize the first word of the name of a document (law, regulation, etc.).
Rōdō kumiaihō 労働組合法
Rōdō iinkai kisoku 労働委員会規則
Historical Events and Periods:
(a) Capitalize each word of the name of a historical event, except particles and conjunctions.
Dainiji Sekai Taisen 第二次世界大戦
Niniroku Jiken 二・二六事件
Meiji Ishin shi 明治維新史
Sekigahara no Tatakai 関ヶ原の戦い
(b) Capitalize the first word of the name of a historical period.
Jōmon jidai 縄文時代
Rikuchō jidai 六朝時代
Peoples, Languages and Areas of Study Derived from Proper Names: Capitalize names of peoples, languages and areas of study derived from proper names.
Religions and Sects: Capitalize names of religions and sects.
Jōdo Shinshū 浄土真宗
Structures, etc.: Capitalize names of structures, etc.
Takamatsuzuka Kofun 高松塚古墳
Narita Kūkō 成田空港
Hibiya Kōen 日比谷公園
Eigenji Damu 永源寺ダム
Derivatives of Proper Names: Lowercase words derived from names of places or religions, when the derived words are no longer considered to be proper names. When the derivative is formed by the suffix of a single character following a proper name, the proper name is capitalized and the suffix is lowercased and follows a hyphen. [...]
but Taiwan-sei 台湾製
As I said before, I would rather say "function words" than "particle or conjunction", and I do find one of their examples puzzling (I don't think 史 is a particle or conjunction in 明治維新史), but they seem to be otherwise reasonable guidelines.
Of course, style isn't set in stone—do whatever you think seems best!