These regulators are superb but suffer from three problems -
1. They're hissy because they're a very old design (shouldn't be a problem in an audio circuit with good supply rail decoupling, but the extra capacitors will help).
2. They're prone to getting upset by proximity to radio signals (I've had them go wild when a mobile phone goes off nearby - the capacitors will tame that sensitivity).
3. They can suffer from spontaneous instability, especially when there's a step-change in the current drawn (the capacitors help to prevent this, too).
The types of capacitor used doesn't really matter, and the value isn't too critical (anything from 33n - 220n will do), but given the choice, 1950s wax-coated types should be used for maximum mojo...
I usually use small monolithic types (with 0.1" lead pitch) which will allow connection as close to the regulator body as possible.