I modded some heresy's by changing all small caps to Mundorf Mcap supreme - a bit expensive, but beautiful - and very important changed also the 68mu over the woofer for a cheaper Mcap, don't forget this one..............
I would just use a pure copper wire, such as Monster OMC or a Kimber wire, never a silvercoated wire, this will make the sound of the mids and highs somewhat raw.
Anybody upgraded a Heresy II filter ?