I don't think there is any hard and fast rules. I usually don't give them any special treatment at all. In a functional language, there is less of a distinction between a constant and any other value, because things are more often pure.
The asterisks on both sides are called "ear muffs" in Clojure. They are usually used to indicate a "special" var, or a var that will be dynamically rebound using binding later. Stuff like out and in which are occasionally rebound to different streams by users and such are examples.
Personally, I would just name it pi
. I don't think I've ever seen people give constants special names in Clojure.
EDIT: Mister Carper just pointed out that he himself capitalizes constants in his code because it's a convention in other languages. I guess this goes to show that there are at least some people who do that.
I did a quick glance through the coding standards but didn't find anything about it. This leads me to conclude that it's really up to you whether or not you capitalize them. I don't think anyone will slap you for it in the long run.