as for the question where to put the snubber, you would put it across the load's contacts, not across the relay contacts, because you want to avoid any leakage currents into the load while the relay contacts are open.
and, as zero999 already stated, such a snubber protects the contacts from inductive loads, it won't help on capacitive loads.
however, if your power brick contains a (either active or passive style) PFC front-end, having a snubber is not a bad idea at all (in addition to an inrush limiter).