Using atmospheric CO2 and water to produce economically valuable products (methane, methanol, RP-1, etc.) is the only plausible carbon capture scheme. Most of these products will end up back in the atmosphere as CO2 (after being burned in jet engines and rocket engines etc.). If you eliminate fossil fuel use and halt deforestation, this creates a steady-state situation where atm CO2 removal is equal to atm CO2 addition.
As far as permanent sequestration of atmospheric CO2 in the form of economically valuable products? There's carbon fiber and diamond, although the cost-per-kg for these materials is going to be a good deal higher than for methane, methanol etc.