Use initial capitals for the names of ethnic groups:

Australian     Australian people     Asian     New Zealander     Caucasian

Compound nationalities do not need a hyphen:

Chinese Australian     French Canadian     African American   but   Afro-American

Use initial capitals for the names of state inhabitants:

South Australians     Victorian     Western Australians     Territorians [from the Northern Territory]      Queenslanders     Tasmanians     New South Welshmen     Canberrans

See also: