So for micros it is usual to have a 0.1µF capacitor between Vdd and Vss. I'm working with an MCP1525 (voltage reference) and the datasheet specifies an optional 0.1µF capacitor across Vin.
For any 'precision' semiconductors, should I be using a separate capacitor as close to the component, or will one per circuit do?
I'm guessing one per component but any clarification would be great
Depends on how much noise your system is producing. Extra decoupling on precision IC's is always a good idea if you don't mind the added cost or complexity. On a voltage reference I'd definitely recommend it.