Yes, increasing the capacity will mean they last longer - but they'll also take longer to charge. That might sound obvious, but some chargers work on a timer rather than by sensing the current flow, and so would not fully charge a higher capacity cell/battery.

If you're using individual cells (AA for example), just be careful not to mix different capacity cells in a set, or you'll end up with a lower rated cell 'reverse charging' and getting very hot!

This is because it fully discharges before the rest of the cells, and literally starts to charge backwards - the '+' terminal will be '-' and vice-versa. Sounds daft, I know, but it's true!

It's a worthwhile investment to buy a simple battery checker, so that you can easily check the charge-state of your cells.