I'm editing a manuscript in English that contains numerous yoga terms for poses, concepts etc. These are generally derived from Sanskrit, if not actual Sanskrit transliterations. My publisher requires Chicago Style, however a search yields nothing helpful with regard to capitalization of these terms. For instance, is the word yoga itself to be capitalized? In some instances but not all? What about yoga/yoga concepts, like Dharana? Capitalized? Always? I'm in a pickle.
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You mention that your publisher requires Chicago Style citations. The Chicago Manual of Style, Chapter 7: Italics and Capitalization of Foreign Words (see sections 7.49 through 7.51 specifically) gives some guidance. There are also several existing questions here and particularly here that are related, and may help.
Italicizing seems standard practice. However, capitalizing and italicizing every yoga-related term will be awkward. Based on my own quick review of this site, and what I could view without a full subscription to the Chicago Manual of Style, plus my own experience with biological taxonomy terms, I would do this:
See related Should capitalization be preserved in loanwords?
I would only capitalise them if not doing so is likely to cause offence, ie. if the word is the name of a deity. Even then, only if yoga people are the type to get violent with rage about that sort of thing ;-)