The supercap should be OK. Don't know for how long though. The supercap goes between rectifier and leds. NOT between dynamo and rectifier!
You could try to put the supercap over 1 of the in series placed pair of leds. That way only 1 pair would pull the power of the supercap. You should know that the supercap will probably delay your lights for a couple of seconds too when you start cycling as it will need to get charged first. Simply the opposite logic from when you stop, when the supercap should get the light going for a short moment. I wouldn't expect anything fabulous though.
I would suggest you have a look at Znomit's
http://www.candlepowerforums.com/vb/...5&postcount=68 . He has a lot of experience.