when I put the capo on I always fine-tune to fix any sharpening or intonation problems the guitar may have. that seems to address the problem quite well (except I have to adjust the tuning again when I remove the capo).
If you capo directly onto the fretwire, with a guitar that has setup of string height done fairly well, you won't need to do the fine-tune thing before using the capo, or after removing it.
I have photos of this on imageshack - lemme see if I can find them....
Here's how to capo with a spring loaded capo if you want to have to tune after applying the capo - apply capo half-way between fret wires:

And here is how to capo if you don't want to have to re-tune:

Clicking on either thumbnail should enlarge the image size.
By applying most of the downward pressure of the spring loaded capo from rubber pad to string to fretwire, there is less tension put on the string itself, which is where capos usually pull strings sharp when used like in the first photo.
Give it a try yourself. One thing that this sometimes doesn't work so hot on is if you do some pretty strong bending of strings in the first couple of frets. The method I show in the 2nd photo can keep the string 'bent' which is usually a bad thing!
-Scott
-Scott