Powering a li-ion battery from a TEG
Adding the super capacitors will result in extra losses as it is just an extra step in the process. You would also need to add a second circuit to control the charging process of your battery (whereas, when you go directly to the battery you can try and include that in your first step-up convertor). Charging the battery more slowly (in theory) also results in higher efficiency as you loos less energy to ohmic losses and the ESR of the battery.