Here's how to do it in linux:
setxkbmap -option caps:backspace
But if you really need capslock, you can set pressing both shift key:
setxkbmap -option shift:both_capslock
These can be set on the ~/.xprofile file. For more xkeyboard tips, see this blog post.
On Mac OSX you can use Karabiner, for Windows, you look at this blog post.
Btw, have you heard about cheapest mechanical keyboard Nimxo K005?
