Battery->Diode->Empeg
and also
Ground->1 Capacitor->Empeg

...where empeg in this case should be the empeg positive feed terminal.

Should I try Ground-> Cap-Cap-Cap -> Empeg?

NOOOOO unless you have got extremely large caps, and a bucket of money for the repair required work afterwards.

also tried it with Ground-> 3 caps in parallel-> Empeg, and it produced the same results

This should be correct. Make sure all your caps are rated around 25V minimum. You will not stop the empeg going into powerfail, but it will blank screen.

They have a label on the side with a minus sign and an arrow. I have the minus sign arrow pointing to the ground connection. Is that right?

These sound like can electrolytic capacitors. You seem to have them the right way from this description.

Are there any other side-effects I should know before I wire this up permanently? Will it be constantly draining my battery or anything?

Not that I'm aware of, but I think (personally) I would be prepared to put up with re-boots or check the battery...