Here some samples for Chevrolet from Mc Lellans automotive, the best I could get for the moment. They´re rather small but I think you can see fairly well.

1939: Master De Luxe
http://mclellansautomotive.com/photos/B30484-2.jpg

1940: On the cover SPECIAL DELUXE
http://mclellansautomotive.com/photos/B37368.jpg

Inside the brochure Special De Luxe
http://mclellansautomotive.com/photos/B37368-2.jpg

1949: Fleetline De Luxe in the commercial text and the badge on the car DeLuxe
http://mclellansautomotive.com/photos/H2393.jpg

Browsing through Plymouth and Ford gave a similar picture, the word changes back and forth but mostly it´s De Luxe or at least hard to determine wether it´s a space or not.

It´s more complicated than that, it even changes over the years depending on what was most in fashion at the styling departments.
For Chevrolet it´s De Luxe at least on the pre-war cars and about 1950 they tend to use DeLuxe. I have no reference to show for the moment though.

It probably depends on the makes, yes.
I think that I'll make an automatic replacement based on the make, using this topic as reference. So any info for all makes is welcome Thanks to those that already gave some info.

I think it depends on the makes no? or on countries as well? So we must adapt the names case by case between the three possibilities DeLuxe; De Luxe and Deluxe...
On Simca for instance the term is De Luxe

Plymouth is De Luxe (with a space), according to an old brochure.
http://www.fvn.no/amcar/brochures/mopar/49ply.html
I changed the two on the site that were spelled as one word.

For British cars in the 1950-60 period 'Deluxe' and 'Super' were common trim levels for Vauxhall and Rootes vehicles. I agree that, where possible, actual brochure based information should be used but I think that De Luxe or DeLuxe would be less common than Deluxe.

stronghold >>

LeBaron/Le Baron: Chrysler used both in their ad, but the version with a space is just using a half-space. LeBaron seems much more common as name, so I'd keep that.
For LeSabre it seems mixed too, but at least some have it in 1 word: http://faculty.acu.edu/~westk/ForSale/buick_18.jpg

About names with letters + numbers where the letter indicates a category (i.e. several models starting with same letters, like the F-Series), usually the rule is: if there is nothing or a space, we put a space, if there is a dash we put a dash. So the Ford F-Series has a dash but the Mercedes just have a space.

58_Roadmaster >>

For makes there is not a problem if not written correctly, the site adjusts them (DeSoto -> De Soto, VW -> Volkswagen, Olds -> Oldsmobile, Chevy -> Chevrolet, Caddy -> Cadillac, ...)
The problem is for the models (though that I could also make automatic replacements for these).

I agree to use actual documentation to be correct. I would like to help with this in any way, but there are a handful of members/users that are very knowledgeable on various makes. MrCadillac is one such user for obvious reasons. Dealing with the hyphen issue, on my MoPar book Standard Guide to 1950s Chrysler there is not listed a hyphen for models up to 1950-1957. For instance S16 instead of S-16. If my book is not valid, I would appreciate finding a more useful sourcebook.
I will check with the Buick Club to which I belong on the LeSabre issue. RESULT: 1959 owner's guide shows there to be a space. Will follow up on other model years.

As far as DeSoto goes, there is no space between letters on the hood (otherwise it would look wierd), but I believe there is an actual space De Soto used in company documents. I often slide by writing DeSoto, but I will consciously make an effort not to make this mistake again.

more of these are:- Le Baron/LeBaron & Le Sabre/leSabre?
I also find it confusing adding model numbers. Some people for example write F-150 others F150 or F 150.! what is correct? (is there a way for it to correct itself according to make/model?)

For the makes this was already "solved" by Alexander some time ago if I remember well: current name style was his decision after some research.
e.g. for DeLorean/De Lorean: http://en.wikipedia.org/wiki/De_Lorean_Motor_Company#Delorean.2C_DeLorean.2C_or_D- e_Lorean.3F