It depends — "so" is lowercase as a coordinating conjunction but capitalized as an adverb.
"So" has the same dual-role challenge as "yet" — it can be a coordinating conjunction or an adverb depending on context. Its capitalization in a title depends on which role it is playing.
When "so" functions as an adverb meaning "very" or "to such a degree" — as in "She Was So Beautiful" — it is an adverb and should be capitalized in title case.
When "so" appears as the first word of a title, it is always capitalized regardless of its grammatical role. This opening position is common in conversational or narrative titles.
The simplest way to determine whether to capitalize "so" is to ask whether it could be replaced with "therefore" or "as a result." If yes, it is a conjunction and stays lowercase. If it instead means "very" or "in this way," capitalize it.
When "so" connects two independent clauses — as in "I Was Tired, so I Left" — it is a coordinating conjunction and is lowercased in AP Style, Chicago Style, MLA Style, NYT Style, and AMA Style.