no cap needed, it's not a high power stereo system. Just some inline fuses on the power wires. Your gauges should have directions for what size fuses to use. I've never had a seperate switch for any guages etc. just tap into an acc line and they'll come on with everything else like the radio and the fuses will be there incase anything goes wrong.
NOt sure about the gauges you have because I haven't used prosport but the wideband has 4 wires I believe. white, brown (or blue?), black and red. I haven't looked at the wires in a while. The white and brown are for data logging and I think you just have the factory ecu so don't worry about those. Your black is ground so look for a good grounding source. I beleive there is one near the in cabin fuse area. The Red is your power wire. This one you ned the in-line fuse for and tapp in to the acc line.
Like I said I haven't done it in a while and I'm going all by memory so someone please correct me if I'm wrong