Should I capitalize the word "the" when speaking of God as "the/The Lord"?
I praise the Lord.
I praise The Lord.
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No. Articles and prepositions are usually not capitalized.
In fact, they are usually deliberately not capitalized. e.g. "Revenge of the Nerds". Regardless of religious disposition.
Even in Christianity or Judaism, the convention is followed such that the article "the" is but a pedestal/footstool in distinctifying "Lord" or "LORD".
Usually--yes--an article is lower-case except at the beginning of a sentence.
However, "The Hague" is the accurate form always, even mid-sentence.
There is no one rule that governs every rare instance, so it's best to consult with source text or experts. My Bible has "the Lord" with the lower-case article mid-sentence.