How busy is the system and what is the end goal for the Auditing; tracking changes in a short period of time, or auditing changes for a long time? One of the biggest problems I have with CDC is that it utilizes the log reader and SQL Agent jobs to capture changes, so a busy system can get behind to the point that it will never catch up unless you turn off CDC, leading to at worst a full transaction log, or at best delayed truncation causing the log to grow in size. If your intent is to do real auditing CDC is not built for that, its more for synchronizing changes than it is for auditing for a long term, unless you setup jobs to pull the data over into audit tables like you would with a triggered solution.
You don't mention the new Server Audit Specifications here, which would be another option to look at, but keep in mind that Server Audit Specifications are used for auditing by inclusion. This is one of the reasons that I still use the old tried and true triggers and audit tables method in my SQL Server 2008 Ent databases, its still the easiest solution until the newer features get past being v1.0 features in the product.