I was working on a vintage amp yesterday and I have heard and read the warnings enough time to know to take care. I have never changed out a larger cap, though.
They say two things - play guitar while you turn off the amp, and if you hear the sound die away you know the caps are discharged - NOW, I DO NOT KNOW if that is correct, I just heard it.
I also heard "always keep one hand in a pocket so you don't create a circuit where the current goes through your heart."
I have to admit, though, I have never heard of "shooting capacitors." That is a good one to know. Not that I have ever wired in a cap backwards in my life, though.