I'm in South Ossetia – yes, I managed to get a visa!
In this sentence, should "yes" be capitalised ("Yes") after the dash?
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No, the dash represents a pause in the sentence, which continues after the dash. Since the sentence did not end you do not capitalize "yes". For a detailed list of capitalization and other style rules you can reference this Oxford Style Guide PDF.
No. The rules for capitalization are fairly straight-forward. You capitalize:
The first letter of a sentence or direct quotation (Today is a new day. John said "Today is a new day").
The pronoun 'I'
Single letters in music (Bach's Fugue in D minor)
Each word in a proper noun - including names of months, days, people, organisations, cities, holidays and religious texts (such as England, John, Microsoft, English, New York, Tuesday, January, Christmas Eve, the Koran, the Bible, the Old Testament, North, Far East etc)
Country-related (and some place-related) adjectives and nationalities (English breakfast, French toast, the German people, as well as Italians, Spaniards, Liverpudlian etc)
Titles - including religious titles (Sir Williams, Mr and Mrs Johnson, the President of the United States, the Pope, the Lord is my shepherd, the Prophet was born in Mecca).
Most acronyms (such as HAM radio, but not others such as i.e.)
Increasingly (and especially informally, or on the Internet) you will find two other "acceptable" uses of capital letters. (Don't do this in exams or formal writing)
A fragment can be written entirely in caps for emphasis (although italics are preferred) - e.g. Joan gave me YET ANOTHER excuse why she has to leave early today.
Words can be capitalized as an alternative to "scare quotes" (The French Revolution was a Good Thing at first, but Napoleon's rise to power was most definitely a Bad Thing).