A while back, I posted on Language Log about punctuation conventions in alphabetic abbreviations, noting that the New York Times tries to be scrupulous in the way it punctuates acronyms (which are pronounced as whole words: CAT scan) and initialisms (which are pronounced as sequences of letter names: MRI). NYT style insists on periods after each letter of an initialism (hence, M.R.I.), though with some exceptions (as in CBS), and on no periods at all in acronyms.
It seems that the New Yorker distinguishes these two types of abbreviations in the same way. But with an extra twist. From Hendrik Hertzberg’s “Talk of the Town” piece (“Stonewall Plus Forty”) in the July 6 & 13 issue (p. 24):
doma and D.A.D.T.–the Defense of Marriage Act and “Don’t Ask, Don’t Tell”–remain as fully in force as they were on Election Day.
Here the initialism is in ordinary caps, but the acronym is in small caps. The distinction is made, as far as I can see, throughout the magazine. A nice further touch is that initialisms that are printed without periods are also in ordinary caps rather than small caps: MTV, CNBC.