"Caps Lock" key fell off my keyboard

You should visit an Authorized Apple Service Provider next to your place and ask them to take a look at the damaged part.

Depending on the make and model of your keyboard, they might be able to order and replace single keys.

Apple - Find Locations

Yes, take the keyboard and the key to the Apple Service Provider and let them try to reattach it. Depending on the Keyboard model, the mechanism is very delicate.