Yeah, shorting it out (connecting the two terminals) with a screwdriver works, that's a good way of doing it.
Capacitors can hold charges near indefinitely, so if for some reason they should be even partically charged, be it static electricity or from an old power source, it can cause a lot of damage. It is good practice to always make sure a capacitor is discharged before installation.
Also, know that with a capacitor next to your laser diode, if for any reason the capacitor or the diode should become disconnected, even for a fraction of a second while the power is on, or recently on, it can kill your diode with a spike. That's another reason I don't use filter caps on the output of linear regulation drivers. Having a cap on the input should be enough.