Step 3: Filtering
This is a really easy step, especially since electrolytic capacitors are common, and you probably have something broken lying around that you can pull one out of. Here, a larger value is better, but you don't really need to go overboard. I just put in a large value and then later replaced it with smaller and smaller values until the ripple got bad enough for me to worry about it.
As with all things, make sure that you are using a component that will work within its safety limit. Here, you have to make sure that the capacitors rated voltage isn't exceeded. It would be a good idea to measure this just to be sure.
Also: Make sure to put the capacitor in the right way. The side with the stripe on it is the side that you must put to the most negative voltage. I've only ever seen it once, but when an electrolytic capacitor is put in backwards, it can explode.