How to Fry Capers: Drain, rinse and dry the capers very well. Heat 1/4 inch vegetable oil in a small straight-sided skillet over medium-high heat until shimmering. Add the capers and fry for about 2 minutes, or until they have popped open and are golden brown and crispy. Using a slotted spoon, remove to a paper towel-lined plate to drain.