Arrange chicken in an oven proof clay pot or medium baking dish. Coat with lemon juice, and season with pepper.
In a small bowl, mix the melted butter, steak sauce, 2 tablespoons capers, and 2 tablespoons caper liquid. Reserve remaining capers and liquid for another use. Pour the butter mixture over the chicken to coat.
Cover and bake 25 minutes in the preheated oven, until chicken is no longer pink and juices run clear. Drizzle with remaining liquid from the baking dish to serve.