I put the compensation components in the tweeter cable assembly. By using several 10 watt parts, you build-in a better thermal margin. As such, the components are able to handle high power levels and don't even get hot at moderate power levels. I group them as two blocks of four and wire tie them all together. It's the most compact way to build them into cable assemblies like that.

If you build the crossover using a breadboard, you can put the compensation components on the board. When doing so, I would elevate them off the board 1/8 inch or so. The leads are strong enough to support their weight, and this will prevent them from heating the board at high power levels or vibrating against it and buzzing. Likewise, I'd cushion the large coils and caps with silicon adhesive to prevent vibration.