Caps lock delay

I'm having a problem with Ubuntu, to be precise I have problem with its CAPS LOCK DELAY.
I have a habit to use caps lock when I need a capital letter in my sentence, but problem is that I changing Caps lock in Ubuntu is slow, so I end up with sentence like this:

 - THis is a test. CAn you see how the first two letters are capital. THis happens only on UBuntu, not on my WIndows!

Instead of holding shift like a normal person to capitalize my works, I hit Caps Lock, then hit the letter, then hit Caps Lock again. I know this is a strange habit, but I tried to change it to use Shift but I just can't. I want to contiunue using Caps lock, but the delay on Ubuntu is causing to have two capital letters in one word, and that is a problem, specially if you are typing very fast (like I). In 5 out of 10 cases I enter my password wrong beacuse of this delay.

I'm guessing this may have somthing with X org or something.
IS there a fix?

If not, this should be reported as a BUG!