I am often using this method for high reactive power high frequency systems. However, I want to warn, the "normal" PCB material like FR4 glass-fiber textolite acts not as expected. It has tan(fi) around 0.035 what means that in my constructions the 100 pF tank capacitor at 4 kV and 10 Amp of 100 MHz gets "little bit" hot.... In the first seconds 200 C and after minute 400 C.
Some time I tried glue-on the radiators both sides, tried to immerse it into coolant etc. Logically it’s not nice at all. The Infrared photo shown the uniform indeed temperature field by a surface, with no any altered patch around wire sticking, thus sure for the reason stand dielectric heating and not a Foucault effect in copper.
The ultimate solution I found in my case, was Rogers Inc. produced (at Belgium manufacture) teflon-based PCB, which (there are different materials, I give number for the best of) has tan(fi)=0,0003. The difference is worth the money, indeed. And sure this capacitor is muuuuch cheaper as Vishay of kVAR series or Jennings etc.
Often the "Tesla coils people" needs stuff like 40 kV caps, and they are working at so low as kHz range frequencies, thus the dielectric heating is not so important for them. Then there is nothing better than floor carpet PVC tiles, the semi-hard type in roulons, about 2...3 mm thick. Put two copper folia between and roll in into the "sausage". This material "as it is" may persist up to 40 kV or at extreme 50, and it has epsilon between 2.7 and 3.3 with dissipation factor between 0.006 and 0.017. Thus, except that copper may "walk" slightly or form an air-pockets, the PVC ought be seen as much better material for capacitors in comparison with glass-fiber-epoxy PCB.
3) I read here about one's trials about paper. It stays written that figures on paper products: cellophane film: e=6.7...7.6 and tan=0.065...0.01, paper fibers 6.5 and 0.005; kraft tissue 1.8 and 0.001-0.0015; rag-cotton tissue 1.7 and 0.0008-0.0065; pressboard 3.2 and 0.008. For the case of impregnated sorts of paper, logically, the impregnating chemical makes a main impact. Thus, the paper is rather lossy material, however even it acts better than PCB.