It is much easier to cut the caps off the wires and then sleeve. Now, here is where it gets interesting.
You can, after sleeving, reattach the caps, but move the caps to a lower location, lets say close to the PSU(very much like whats done with double wires being joined and hidden behind the motherboard) so the bulk is hidden.
Or you can simply leave the caps off. I've had many friends leave them off and they've never complained about problems. I have heard that the caps are there to reduce coil wine, but my buddies never complained of the coil wine, so I believe its not necessary.