Style the name of a fictional character just as you would the name of a person: capitalize the initial letter of each name. Do not put a fictional name in italics or in quotation marks:

In an interview, the writer Stephen King said that one of his favorite books features a character named Margaret Ridpath.

If the title of a work contains the name of a fictional character, style the name as a name and the title as a title (that is, in italics or quotation marks):

Emma Woodhouse is the heroine of Jane Austen’s novel Emma. 

Willa Cather’s short story “Paul’s Case” is about a high school student named Paul.

For a series name that contains a character’s name, see our post on styling the titles of trilogies and informally titled series.