I could be wrong, but finding their location and building a factory for them to gather profits from. I built a factory in my largest population area that had a few capitalists. Once it was compleat the 10 capitalists started making massive amounts of money that let them fund their own private development.
When I use the national focus for capitalists it will support a small group of capitalists so they don't evaporate into a lower POP type. Once you can get maybe 50 or so you don't need to protect them from a down swing.
But overall giving them a source of income worked best for me. This is why I have a factory in every area, in between their own retarded plans to build factories, they spit out railroads once I have a new tech level. The money wasted on their own factories I just ignore. Once the factories close down I normaly remove them, in hopes that they might make a new more viable/profitable type.