I've never put on a capacitor but I have looked into it because I plan on doing a system in my truck. I used Crutchfield for all my speakers and stuff like that. Good service and reasonable prices with quick shipping.
Here is some info from Crutchfield.com on capacitors:
The rule of thumb on capacitor size used by most manufacturers is 1 Farad per 1,000 watts (RMS). Using this as your guide, then you would use
* a .5 Farad capacitor for systems up to 500 watts
* a 1 Farad capacitor for systems up to 1,000 watts
* a 2 Farad capacitor for systems up to 2,000 watts
Another thing to note on this topic is that you can't really add too much capacitance to your system, so it's safe to overshoot the guidelines. If you wanted to add three 1 Farad capacitors to a 1,000 watt system, it would not be a problem.
Hope this helps out some.