My friend asked me the other day why the word Lord is in all capital letters in the old testament but not the new testament? I tend to lean towards the fact that the old testament was written in Hebrew and the word for God in Hebrew is YAHWEH, or rather YHWH since they believed His name was so Holy, they didn't use capital letters. What do you think?
A convention in many Bibles is to do exactly as you say - convert the Tetragrammaton (YHWH) into LORD. To be sure, you should look at your Bible's preface. In the New Testament, which was composed in Greek, the word Kurios (e.g. Kyrie Elesion) is a title as opposed to a Proper Name.
Interestingly, the Jews took the notion of protection against blasphemy so far, that they would not pronounce the YHWH. Instead, during readings, they would substitute the proper name of God for Adonai, which translates to "my Lord". When the Masoretes attempted to add the vowels between the 7th and 11th Centuries AD, they did not know the correct vowels to use, because the tradition of Adonai was so long entrenched. As a result, they adopted the vowels of Adonai and added them to the Y-H-W-H to get Yah voh (Yahweh), or as the English wanted to pronounce it: Jeh-hov-ah.
Best bet is to read the introductory notes in your particular Bible. The translators will usually put info in those notes about special features used in the English texts to denote certain things in the original language. For example, my NASB has this note under Principles of Translation, The Proper Name of God in the Old Testament:
The Hebrew letters roughly corresponding to YHWH are the name of the Jewish god. Literally, this is their god's name, just like my name is Kyralessa and your name is Rachel.
However, in order to avoid using God's name in vain, the Jews did not pronounce this name. Instead, they substituted the Hebrew word adonai, which means "lord".
In the actual Hebrew text of the Old Testament, the consonants YHWH for the name of God are pointed with the vowels for the word adonai. (You can see what Hebrew vowels look like here: Hebrew Nikkudot) This means that whenever you're reading aloud, and you come to the name of God, you instead read the word adonai.
This isn't the only case of this kind of substitution, though it's by far the most common. You can find more qere/ketiv cases here: Qere and Ketiv
Reading the vowels of adonai with the consonants YHWH gives one "Yehovah", or "Jehovah". This isn't the name of God, however. Despite its historical popularity, it's simply a nonsensical mixture of two different words. We don't know what vowels the word YHWH originally had.
Writing the word LORD in the Old Testament is a way of indicating that in that place, the name of God (YHWH) is present in the original Hebrew. adonai translates as "Lord", so this is a way in English of simulating the Hebrew practice of saying "Lord" in place of God's name.
There are a few cases in Hebrew where adonai YHWH occurs. To avoid the awkwardness of "Lord LORD" in the text, Bibles generally render this as "Lord GOD" instead.
Incidentally, the capital letters in English don't have any connection with capital letters in Hebrew, because Hebrew doesn't have capital and lower-case letters.
Now, what about the New Testament? The New Testament doesn't contain the name of God anywhere. The word "Lord" in the New Testament is κύριος kyrios, and the word "God" is θεός theos. It's quite possible that in some cases of the New Testament, kyrios is meant to stand in for the name of God (with the adonai substition). But since it's technically not the name of God, the "Lord"-in-small-caps convention isn't used in the New Testament.