The art of using ferrite is complex. I'm not an RF guy, but I have put them in a few products, so I'll see if I can distill this a little.
Ferrite is a special form of elemental iron, which exists in a cubic lattice, like a salt crystal. It has a weak magnetic quality, but nowhere near that of other ferrous metals, There ain't no such thing as a ferrite magnet, at least in the "refrigerator magnet" sense. It's used as a core material in transformers and chokes to increast inductance without increasing the length of wire required, and also increasing the current handling before saturation.
In RC stuff, they'd be most effective on the positive wire from the ESC to the motor. The motor has a ton of inductance itself and will filter the current returning in the negative wire quite well. The wire from the battery to the ESC is pretty clean, and it really doesn't need any filtering. The best way to do it would be one tor two turns of wire around a small ferrite donut between the motor and ESC.
There are numerous types of ferrite belnds for different applications, current levels, frequencies, etc. Picking the right one really is an art in some senses, and is an art I'm not entirely qualified to practice.
At the frequencies present in RC stuff, caps make more of a difference than ferrite will. Ferrite has very little effectiveness at the low (<100kHz) frequencies used for ESC modulation, whereas capacitors are happy smoothing things down to DC. Adding inductance to a wire increases the resistance to fast changes in current. Adding capacitance makes a circuit more resistant to fast changes in voltage. In the case of modern ESCs, we need both, but having more capacitance is better than more inductance.