The capers we like to buy are packed in salt. They come from Sicily, the Isle of Pantelleria is actually the place where the Rolls Royce of capers comes from. But if you couldn't find the ones from Pantelleria use the ones that you have at the store. Pickled ones in brine are just as good, almost. Same with anchovies, if you can't find them salt packed. Find them in a can or even use a tube of anchovy paste, for something like this it will still work. If you're trying to make it the Molto way, buy all the best ingredients you possibly can because that's the game.