Yes those will work. In fact most PSU noise filters do use something more similar to those, yet Tangent prefers film caps for many areas in which ceramics will do (sometimes their greater temperature sensitivity is an issue, but relatively, those will be fine, is what they're designed for).
A fuse is technically optional, but a good idea to use one. Do you "need" a panel mount fuse holder? You seem taking opposite extremes, wondering if you need one at all at one extreme then wanting to go to extra effort (contrasted with the typical Steps implementation on the PCB itself) at the other extreme.
If you simply don't have a fuse holder for the board but do have the fuse, what you could do is solder thick wire "studs" to each end of the fuse. How to wire a separate fuse holder is quite simple- take the AC hot wire coming in, and instead of running it straight from the cord (or IEC socket, however you're getting the power into the box) to the Steps board, wire that to one end of the fuse (Holder) and the other end to the steps board. It just goes inline, in series with that AC lead. Mainly, be sure the wires have a good mechanical connection in addition to solder or crimp (whatever applies), and perhaps even heatshrink over that... you don't want those coming loose fuse or not.