The phrase "To Whom It May Concern" should be capitalized with the first letter of each main word capitalized: To Whom It May Concern. This is because in this context, the phrase acts as a proper noun, standing in place of a specific individual or group. It should also be followed by a colon (:) rather than a comma or a period. This capitalization and punctuation rule is standard in formal correspondence where the specific recipient is unknown. The phrase should stand on its own line, with a blank line following before the body of the letter begins.