First add the layout :

Main Menu: >System > Preferences > Keyboard

This opens the Keyboard Preferences.

Go to the second tab: Layouts

Click the "Add" button (or skip to the next section if Colemak is installed).

Select Country: United States

Select Variants: USA Colemak

You should now see Colemak in your installed layouts.

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Click "Options"

You will see a list, including "CapsLock key behavior". Click to expand.

The ninth option down should be "Make CapsLock an additional Backspace".

This setting works across ALL installed layouts, not just the active one.

Cheers :)