The best Cap to use is anything over a 1000mf and at least 7.2 volts or more, the bigger the capacity of course the more voltage the cap will hold.
You can get Caps just about anywhere but i got these at my local RadioShack for just a couple of bones. The next thing you want to do once you have the cap picked out is plan on where you want to solder the wire leads......I used 16 gauge because thats all i had in the box....You can either connect the cap directly to the battery leads of the esc or you can also connect it to the pcb board of the esc.....
I connected my leads directly to the PCB board because that would be the easiest for me to do. I also used Dean's Micro plugs for the wire leads on the esc....
Take a look at the pic for the wire leads.....