Exactly. I started using Colemak cold turkey on July 4, 2007, a holiday here (I essentially sucked in the difficulty of being a laughably slow typist on two workdays until the weekend, when I got to practise some more).
I did not have the skill to change CapsLock to Backspace on the Mac OS. I also couldn't get the offered Solaris software to work on my work Sun machine -- so I wrote a very easy and naive xmodmap myself looking at 'man xmodmap', but didn't deal with CapsLock, because (a) I was too lazy to add the slightly more clever entries for it, and (b) the CapsLock on my Sun keyboard was not all that desirable a location to begin with (Sun keyboards, sensibly enough, have their only Control key where you might expect CapsLock; they don't have symmetrical Left and Right Controls). I like the Sun setup so much that I have CapsLock mapped to Control on the Mac -- which is an easy change that Mac OS X allows without external software.
From hindsight, my inability to change CapsLock was a boon. I kept using Backspace as in QWERTY whenever I needed to, and since it was a dreaded trip to keyboard Siberia (instead of keyboard Hawaii as Colemak mandates), my fingers learned to make less mistakes. I can now do 67wpm without frightening the horses.
Still, the CapsLock-to-Backspace was a good publicity hook, even if in my case that's the one thing in Colemak that I didn't end up adopting. There is obviously a large groundswell of antipathy toward CapsLock, which I share from having had to deal with non-Sun keyboards, and my eyes wouldn't have been open to Colemak if it weren't for its feisty anti-CapsLock stance. Mere rearrangement of the letter keys would not have registered on me as something I could possibly learn to use.