Where should the leads go to this kind of DC motor?
Yep, the capacitor is connected across the motor leads. Just solder to them.

Specifically, the capacitor across the motor leads is there to reduce EMF produced by the motor. Basically, a DC motor looks like an inductor. Since the current has to flow through brushes, which are not in continuous contact, every time the brushes break contact, you get a high-voltage pulse as the motor's magnetic field collapses. The capacitor helps reduce the extremely high frequency component of these pulses.