A capacitor is an energy storage device that blocks instantaneous changes in potential between the two points it is attached to. More simply put, it slows down changes in voltage. This is useful to remove unwanted ripple (noise) in voltage at the point it is attached to. So if you think you need to protect against noise, it's true that its not a bad idea to have one placed near the point where you want a stable voltage. However, if you are trying to measure fast changing signals with your ADC (it doesn't sound like you are), the capacitor can actually cause errors in your measurement due to its delaying effect, and it could be a very bad idea.
Probably a better use of the capacitor is near the power input and reference voltage for your ADC device because noise there can cause your ADC to obtain an incorrect value. It is comparing your signal input to that reference voltage, so it the reference is dancing around, your measurement can be wrong.
You should placing capacitors close to the device because noise can reenter into the circuit after the capacitor. There are different types of capacitors as well. Some, like electrolytic, have a polarity. If these will fail if you connect them backwards.
How much a capacitor slows down the change in voltage, often called "transient behavior", can be easily calculated. You might want to do this if you are actually going to connect a capacitor to your signal input. In general it takes about 5 time constants for the change in voltage to be made. A time constant, usually represented by the Greek letter, tau, is simply equal to Resistance * Capacitance:
t = RC
t = tau / time constant
R = resistance in Ohms
C = capacitance in farads (F) (note most capacitors are rated in uF, nF, or pF.
Having fun with technology!