Yes if that conversion harness is the right one, that should be the ticket to getting your lights up & running without the re-wire
Would also serve as the sockets for when you do the re-wire (cut the conversion harness & splice into your re-wire, could leave the OEM intact then)
www.ebay.com/itm/124148130601 Found this with a quick search on eBay, yes it has a fuse holder. I would imagine most kits do
Yes it's better to go with heavier gauge wire, generally OEM is just barely enough to get the job done because of cost measures. Heavier gauge wire = less resistance, which = less voltage drop
And pulling power directly from the battery bypasses much of the car's harness as well, shortening the overall electrical path.
Like I said on my truck it was a massive difference in light output - OE wiring was maybe 22awg, very thin!
Additionally, depending on the vehicle, it will eliminate the load on the headlight switch itself. My truck's switch was getting hot and beginning to fail, no longer gets warm.
I don't recall if the headlight switch on the Capri switched full current.