PWM EMI capacitor - How to work out the value?

If your worried about emi, place it is a grounded aluminum enclosure, keeps wire leads short and parallel (or twisted), if using a pcb use a ground plane,
usually you design to minimize the emi interference, not that you kill all emi radiated just to treat it properly and use shielding, etc to keep it away from other devices
btw 500hz isn't that much to produce alot of emi, unless you have decently long leads and switchin alot of current