adding weight to the headstock does increase sustain, the easiest way to do it is to clamp on a peice of brass. Personally i sometimes make my headstocks thicker than standard and it has pretty much the same effect.
This is a seperate issue to the brass nut thing which i do hate, especially when i see it on my mates 68 Black lP Custom. Makes me want to cry!
Its also seperate to the lightweight bridge thing, which i like and think makes a big difference to sustain.
Headstocks are a large apendage on the end of a skinny peice of wood, sometimes they vibrate too much... If the neck and headstock are vibrating too much they are taking away energy from the strings and therefore reducing sustain. Stiffening the neck and strenghening the headstock are the best ways to reduce this but generally mean a new neck or a hell of a lot of work. Adding weight is the quick fix, and it doesnt have to be brass.
As for the capacitor question: if you think you can hear a difference then they are worth he money. After most people have shelled out for more expensive caps they think they can hear a difference
I have used spragues with 300k pots for tone and really liked the level of control that they gave me, it was so nice i didnt bother doing the scientific thing and swapping caps to see what difference they made!