How to properly bend leads of box-type film capacitor?
NASA recommendations are that you support the lead on the component body side (for example, with needle-nose pliers) and make equal bends at least two lead-diameters from the body. In this case, the 'body' would be the limits of the epoxy fill in the bottom. 

So, grab the lead with the pliers at least two lead diameters from the body (there should be a visible gap between the epoxy and the pliers) and bend the lead with your finger or another tool. That's it. Nothing touches the component body while you are doing the bend. 

Of course you can usually get away with being a lot more sloppy, but that's the proper way to do it. 

Edit: as @Austris mentions, you can follow a standard. NASA has now folded their standards into IPC international standards as J-STD-001.