You know, that's part of what's been holding me back from using it for much besides remapping CapsLock to Control. Maybe it's time to sit down and write a Lisp DSL that compiles to it.
:-)
Windows: https://github.com/randyrants/sharpkeys
Ubuntu Linux (don't know about other Linuxes): /usr/share/X11/xkb/symbols/pc
key <CAPS> { [ Caps_Lock ] };
-> key <CAPS> { [ Control_L ] };
These solutions avoid needing to keep a keybinding application open. The Linux solution unfortunately resets after every version upgrade.(I am in the process of doing this inside OpenSCAD.)