The design of the primary tank capacitor of a Tesla Coil is very important indeed. You maybe able to cut corners and save a few dollars on other components of Tesla Coils; however, the tank capacitor is one item you should spend a little money on to ensure high quality. A tank capacitor can be charged to very high voltage (25kv to 30kv or higher) in a short amount of time, and then have the charged dumped into the tank circuit in an even shorter amount of time. This can cause high stress on the internal parts of the capacitor (dielectric) and may even puncture the insulation of the poor capacitor. Try to obtain a high frequency pulse RF capacitor design for this kind of stress. I have destroyed many tank caps due to over stressing.  I decided to go the way of a MMC (Multi-Miniature-Capacitor) capacitor bank. The MMC is very steadfast, easy to construct, and has no oil.  The MMC are made by stringing commercial polypropylene capacitors jointly to form a superior capacitor that can endure the high current/voltage of Tesla coils. The MMC consists of many smaller commercial capacitors connected together in a parallel/series array to accomplish the demands that Tesla Coil tank circuit requires. The MMC approach allows Tesla Coiler's to use superiority quality capacitors without the high cost of large high voltage capacitors on the market today. The MMC method will spread the voltage stress capacitors. Also it is a good idea to place a 10 Meg ohm resistor across each cap to ensure balancing and safety issues. As when the power is removed the resistors will bleed the charge off to ensure you do not get a shock (ouch!).  MMC capacitors are much more tolerant of excessive voltage excursions than rolled poly capacitors if designed correctly. I like to use Panasonic ECW-H 16563JV  1600VDC 0.056uF Polypropylene caps from DigiKey http://www.digikey.com (part # P10516-ND)  I have had  no failures since going the way of the MMC.  Tab on pictures to enlarge.