Only capitalize sonnet when referring to a specific one
Such as: Scholars have suggested that Sonnets 71 and 72 best encapsulate the death and poetry theme that runs throughout Shakespeare's sonnet sequence.
How do you cite a sonnet?
Begin with the poet's last name (comma), then the first name (period) to create a Works Cited entry. Follow it with the name of the sonnet in quotation marks (period inside) and the anthology or book title in italics (period), followed by the book's edition (period).
Are sonnet titles italicized?
Individual poems (e.g. "Sonnet 73") go in quotation marks. Longer works and standalone works (e.g. The Miller's Tale, Paradise Lost) get underlined/italicized.