1) Is this feasible or even a good idea?
Yes, Richard Vandersteen employs this approach in his products. This not only enhances the clarity of small speakers but also reduces the load on the power amplifier.
2) What value capacitor would I need for roughly 80 Hz filtering with a 37 kOhm, 220 pF input impedance on my Audionet Amp1 V2? My speakers are 4 ohm, but not across all frequencies.
For an input impedance of 37 kΩ and a cutoff frequency (roll-off point) of 80 Hz, the required capacitance is 0.0538 μF. If a 0.05 μF capacitor is used, the cutoff frequency will shift to 86 Hz.
3) Would I need matched capacitors for each channel and to within what % of each other?
Theoretically, the higher the matching accuracy of the capacitors, the better; however, in practical applications, a 10% tolerance is usually sufficient.
4) Can I solder the capacitor leads directly to the connectors in this way? Most capacitors look to have enough wire for this.
Yes. See the image below:

5) Anything else I should consider with this plan.
For optimal results, connect the outer layer of the capacitor to the preamplifier output to reduce electromagnetic interference (EMI).
Some manufacturers use a black or colored band, or print a line on the capacitor body, to indicate the outer foil lead. This mark is always located on the side of the lead connected to the outer foil.

