You can google "party cup capacitor" and "salt water capacitor", both of those are common types of homemade caps. I've heard of your method, but never done any investigation of it. You'll have to use a lot of foil to get a very big capacitance. The homemade type of caps are generally capable of very high voltages, but lower capacitance because of imperfections in homemade construction, and thicker dielectric material.
The DC electronics volume of **broken link removed** has a chapter on capacitors that will explain the factors affecting capacitors much better than I can. Even though saran wrap is pretty thin, it's still thicker than what you find in normal electolytic caps, and I'd guess would go in the hundreds and probably thousands of volts.
Since it'll be fairly easy to make, just make one and see what voltage blows it. Then use it at a lower voltage for general use.