This is a tough one. For what it's worth, I hold a Master's degree in Electrical Engineering...
Capacitors are used as a sort of "mini-battery" which is used to smooth out the power ripples due to changing load conditions. Let's say that a mobo sucks 2 amps. Then, you launch a game and it starts sucking 5 amps. It takes a little time for the power supply to adapt to the sudden change in current, so the capacitors are used to take up the slack for a very brief instant of time. So if there is inadequace capacitance on the motherboard, problems CAN result.
However, the people who design the motherboards know all of this stuff (they are paid professionals). So they build in enough capacitance to handle things like this. Of course, they cannot throw a hundred caps on the board, as these things cost money. The trick is to put enough in, while not putting too many. Too few, and the board is unstable. Too many, and the board is too expensive.
So, in my professional estimation, this MAY help if your mobo does not quite have enough capacitance (not likely), or if your power supply is a little slow to respond. In any case, it certainly cannot hurt. But this is not a magic pill to cure a cheap power supply.
As far as doing it yourself, you just need to hook a cap between each power line and a ground line. The working voltage of the cap should be comfortably over the voltage of the line being filtered (double the voltage is a good idea). And the capacitance should be as large as you can reasonably get. The ones to use are electrolytic caps. Also, observe the polarity of the caps. Most electrylytics are polarized. Hooking them up backwards lets the magic smoke out.
Also note that if you cross your wires, you can fry your mobo or power supply. Not for raw noobs. 'nuff said.