For a first-time build should I go with the sonocap upgrade?
I would recommend that you do. The reason is quite simply, that when you discover how well the AV/3's perform with the lower grade parts, you will not stop wondering how much better they could sound, with the premium parts. It's human nature. Then you will purchase the more expensive parts, and have nothing to do with the parts that you'll be replacing. Those parts that you initially saved money, are now just sitting there unused.
I would also recommend bypassing all the caps with Sonicap Gen I or Gen II's. It'll only add a couple of more bucks to the kit. Bypassing is an easy hot rodding option.
>What should I use for dampening/mass loading? I want to keep construction fairly straightforward and inexpensive, but also have good quality
I'll again echo that the NoRez works really well. The other methods (like floor tile) will work as well for mass loading and damping, but you would then need to add something on top of that to control internal resonances. The NoRez does both, and is peel and stick. The adhesive really works well. After 24 hrs, there just about no getting it off. Cuts easily with a knife. No muss, no fuss.

I am going to finish the enclosure in a gloss black paint, using lacquer. I have access to a spray room and gun, but I am not sure what type of lacquer to get for a gun. I think that the black paint will be from a can, since that is pretty cheap and I have had good results thus far.
The advice to mitre the edges will yield you the best results, but certainly much harder to do.
As far as lacquers, it depends on how far you want to go. If this is just a quicky DIY speaker, just to get your feet wet in DIY, then use whatever types are readily available where you happen to have access to a spray booth and guns. Use what they use.
You can run into compatibilty problems when you use multiple products from different manufacturers on the same project. Some problems don't show up right away, but later on down the road, and can be nearly impossible to rectify. You must start over.

So beware of that. The most durable lacquers are of the post catalyzed variety. You must spray these in a booth only, and must wear a respirator. These paint systems are not friendly to your health otherwise.
Read around the GR Research and RAW Acoustics forums, there are plenty of threads where DIY'ers have asked similar advice regarding how to veneer and finish speakers.
Have fun, and don't forget to post pictures.
Good luck!

Cheers