Is soldering SMD capacitors directly to TO-220 regulator pins a good idea?
For one-off bread-boarding this actually sounds like a good idea.  Since the center lead is ground, you can put the capacitors between that lead and each outer lead.  If you do this high enough up on the TO-220 part, then you still have the lower lengths of the leads free to plug into the breadboard or connect otherwise.

One thing I would do though is still add a capacitor to the output bus on the breadboard separately.  It can't hurt to have a little distributed capacitance there.  This would help counter some of the inherent resistance of the connection, which can be higher than it should be due to dirt or worn contacts.