There’s nothing wrong with a non-isolated converter, but be careful when testing! Your supply design power is small but there might be a lot of fault energy available in your test setup.
The selection of capacitors needs to hit a few things: low impedance against HF switching, high enough ripple current rating, enough energy to keep voltage somewhat stable over 50 / 60 Hz line cycle, and probably other stuff I’ve forgotten.
3x 10uF electrolytic is probably quite cheap. They are in series, so 3.3uF effective. Now derate by 50% for tolerance and ageing, get around 1.7uF effective.
If energy is the limiting factor, a 2.2uF film capacitor would be equivalent but more expensive.
For safety reasons you probably need some bleed resistors in there in any case.
Given the voltages in play, you should try to find operating voltage specifications for your inductor in addition to the usual inductance and current ratings.