NB. This answer applies to the PC/Mac/… version of the game; while this question is tagged for XBox the title/question is likely to get hits beyond that specific version of the game, so for those people here is their answer:
As SevenSidedDie writes: you cannot add a cape yourself to your account.
But with mods you can in game. The latest (for MC 1.5.1) CoFHCore adds in game commands to add capes to players.
/cofh cape set <URL>
And the linked forum topic includes a cape image template here.