High voltage loads best practice
For a start, I suggest you acquire an adjustable electronic load for this project (example). It will have various protection features you'll not figure out when building a dummy load yourself.

In later stages of your project (when you're confident that your device works in principle), you'll do exactly what you said: bundle a bunch of resistors, caps and a few fans into a case, and use that as a test load.

Remember that working with kV voltages requires precautions. Put a discharge circuit on every cap that may get charged to high voltage, and acquire a safety voltage detector which you would use every time before you touch your device after a test.