Similar to Robert Neill's suggestion, there are single-contact sockets similar to turned pins available in a variety of sizes to accommodate different pin diameters. They can be had in both SMT and PTH varieties. Some even allow the mating pin to pass straight through the socket and the board, although these are only available in through-hole for obvious reasons.
There are also a variety of spring-loaded tabs that are usually intended to make electrical contact with a housing for EMC purposes, but some of them are shaped such that they can accept a pin.
Finally, you haven't mentioned if this is meant to be easily removable or not, but for a permanent connection there are single wire-to-board IDC terminals, that are designed to be soldered into the board and have an insulated wire pressed into them. The terminal displaces the insulation and makes contact with the wire inside. You might be able to locate a part that is designed for solid conductor wire and matches the lead diameter of your capacitor well enough to work.