Yah, just install it across your battery.  It should not draw any current at all.     
How a capacitor works:  A capacitor is just two pieces of tin foil separated by an insulator, and then rolled up into a cylinder.  Each piece of foil has a lead attached to it.  When you hook it up to a battery each piece of foil becomes the same voltage as what it is connected to.  Once charged up, which only takes a few milliseconds, these pieces of foil tend to keep the exact same voltage difference between them.  When you initially turn any device on, the battery voltage "spikes" or changes for a split second.  The capacitor will resist this change in voltage and reduce the spike.  These spikes can make a noise in the audio system.   
What you have, if it is indeed a filter and not a light, isn't very big and will probably have very little effect.  Most noise capacitors for good noise filtering are more like the size of a flashlight...