You are right about goldcaps but in this case you want to draw significant current (after all that's why the energy is stored in the capacitor and not drawn directly from the battery). It may work with a goldcap though.
Originally Posted by Eugen Mezei
Regarding the pinhole, are you sure that works? Goldcaps were developed for low current applications (e.g. buffering ultra low current electronics like static RAM for weeks or longer). Generating sparks is not low current. I would start with electrolytic caps or, if higher voltage is required, with foil capacitors.
Shorting a 4700µF cap charged to 30V already gives some welding effect.