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...