For the SCX permanent lights :

The condenser is soldered to the chassis strips to storage power, the diode avoids the power to go back to the motor and the wire leads the power to the lights.
Here, a 15v mini condenser is needed to storage the power coming from the track.
1000 mf gives enough capacity to avoid bleeding and have a little permanent light even car stopped.
For the general schematics :

This one uses a voltage régulator ; that's not the one I use.
I remove the voltage régulator, replace the 6koms resistor by a 470ohms and put the 5.5v GoldCap AFTER the resistor.
So the current sent to the GoldCap is reduced to around 3v.