Sorry, I got busy trying to finish a DCC install. But I did take a photo.
It goes on the back side of the PCBA at the connector location, the leads go on the red and black wires.
I did tin the leads first. Yes a small tip on your iron. Lower temp. having a helping hand helped a lot so the cap didn't move on me as I was soldering.
As for the cap, from what Lionel told me it acts like a filter and smooths out whatever needs smoothing so that the speed is nice and steady.