By large, I meant as high in capacitance as possible without sucking away all your money (and, of course, it has to fit).
Lowering the cap value lowers the ripple reduction in the power supply, and at some point you will begin to hear noise from the output while the amp is operating.
The C of the first position can affect the voltage of the power supply if the value shrinks enough, so that's not the place to get skimpy.
The question about a CLCLC power supply depends on whether the chokes are all the same (which they are in your case). Since the chokes are identical, I would put the largest (by large, one should always assume capacitance, the physical size of a capacitor is not considered until building time) capacitor closest to the bridge, then work smaller as you get out. This will let you use higher quality capacitors with less capacitance in the signal current loop, which is ultimately the goal of this exercise.
-PB