Yeah, that would make sense to put it on the +9v supply. Check that it's rated for 9v though (most of them are, but the last thing you want to do it blow up a cap - it stinks!
Basically you're using it to build a bridge between the voltage output of the switch and the voltage input of the board. Once the power gets turned on there'll be a couple of milliseconds of silence, then the sound should come back in. The bigger the cap, the longer this delay (initial charge up time).