Many Jewish writers will drop the vowel when referring to G-d for fear of violating the Third Commandment. They believe this practice prevents someone from taking the Lord's name in vain even accidentally. It also stems from the belief that allowing God's name to appear in a medium that may at some point be erased or deleted could be considered irreverent.
I'm sure many Christians find that strange. After all, we speak about God all the time, and there really isn't any verbal equivalent for "G-d." But when most Christians write about God, they have a tendency to show reverence by capitalizing divine pronoun references such as He, His, and Him. I used to do that, but eventually discontinued the practice. I did so for a few reasons.
First of all, it's easier not to capitalize. Yes, that sounds like a lazy excuse, but consistency makes proof-reading less difficult.
It also makes sense from a grammatical standpoint. Pronouns like he, his, and him aren't proper nouns, so it's only logical that they aren't capitalized.
Historically, the original Hebrew and Greek scripture texts didn't distinguish between capital and lower case letters. Early English Bibles, including the 1611 King James and the 1557 Geneva, didn't capitalize divine pronouns, and most modern translations, such as the NIV and ESV (the one I use), follow the same style.
Bottom line: I think it's a matter of personal preference. If you want to capitalize divine pronouns, go ahead. If not, fine. When it comes to showing reverence for God, I think our main focus should be on the context in which God's name is used.