Yes, you can buy empty capsules. I get mine at health food store. I have a capsule maker too, which is just a small contraption that holds 1/2 the capsule, you put the cayenne in and then put the capsule covers on. That's not needed, though. You can just scoop cayenne into the empty capsule.
I've always used the capsules, and it doesn't seem to affect the cleanse. Everything that's supposed to happen (elimination, weight loss) has happened on my cleanses.
I suppose you do get used to the taste of cayenne in the lemonade, but I definately think capsules make it more enjoyable.