How can I change my keyboard layout to English with Caps Lock and change layout to Russian with Shift+Caps Lock?
An old version of Punto Switcher could do this on Windows.
For the general case of changing input sources via keyboard shortcuts, see this earlier question.
Another approach might be to use the app Ukelele to design a custom keyboard that does what you want, but it would be a lot of work.
If it would be enough to use Caps Lock to switch between English and Russian, you can do this by just checking a box at the bottom of System Preferences > Keyboard > Input Sources.