The capitalization of songs should be done similarly to capitalization of titles. To punctuate, the titles should be written with a double quote (" ") around it. Any punctuation that is part of the title such as commas, exclamation points or question marks, should also go inside the quotation marks.
Song titles work similarly to other titles when it comes to punctuation; although, song titles can have some special rules as well.
The capitalization of songs should be done properly when writing titles in essays or articles. Foreign language song titles should follow the capitalization rules of that language.