"Do I always have to start the words 'king' and 'prince' with a capital letter?"
If it's part of the title of someone's name, then they follow the same rules as for Mr, Mrs, Doctor, etc. eg. King George I, Prince William. Also, if it's the only descriptor of a person (ie. in place of that person's given name), then a capital letter is needed.
If it's used as simply a noun, then no capital needed.