Tesla coil construction
Search EBay for Door-knob Capacitors. These are capacitors that are used in industrial semiconductor laser high voltage discharge systems. They are able to handle the voltages you will encounter in the Tesla coil primary circuit. You can usualy find some up for bid. The co-axial terminals are threaded and so you can use studs to create series arrangements to increase voltage capacity and gang the serial assemblies in parallel between sandwich metal plates (you'll have to cut and drill these yourself) to get the capacitance you need.