Add 10pf caps between B+ and ground?
10pF will only be effective at RF frequencies. Ian's recipe of a local 220uF decoupling cap paralleled with a .22uF film cap is quite sound (pun intended), in that it will fill the requirement of a low impedance AC ground at all frequencies. You want to have a low Z ground path even down past the circuit's -3dB rolloff point, hence the large-ish 220uF value. The .22uF film cap in parallel will provide a very low impedance ground path far past the highest frequency of interest, by bypassing the big electrolytic's ESR (equivalent series resistance) and ESL (equivalent series inductance). Together, they synergistically provide wideband decoupling and prevent ringing, which is necessary for amplifier circuit stability at all frequencies.
Back to the inductive coupling thing, here's an example of just how easily things can go wrong. Someone once sent me a single ended tube audiophile amplifier, that was oscillating like mad. The guy was using high-zoot silver RCA interconnects, and had changed the amp's input signal wiring to silver as well. That was when it had started oscillating.
The amplifier's physical layout design was unbelievably bad, and this was a commercial product! The RCA jacks were situated adjacent to the IEC AC line jack, and just beneath and behind the power transformer. The output transformers were directly underneath and sideways-offset from the power trafo by only about an inch, and one of them was less than an inch from the RCA jacks.
When he'd installed the silver signal wires, he ran one of them touching against the output transformer bobbin. Besides being too close anyway, silver also has twice the magnetic susceptibility of copper. A nice healthy positive feedback signal was being induced in the signal wire, happily turning the little amplifier into an oscillator. I simply bent the signal wires down away from the transformer.
In the case of preamps, I thought separate power supplies were preferable to PSU housed on board in the same chassis. By separating things out, the big PSU magnetic fields get away from sensitive input circuitry. Is this not the case? Is it better to have the PSU and audio circuit in the same chassis?
Yes, and no. It's rather application specific, and not always for reasons of potential noise coupling. Consider that tube guitar amps and microphone preamps have on-board power supplies. Both are sensitive, high impedance, high gain circuits, yet do not suffer if properly designed and implemented.
It's of course good engineering practice to place the amplifier stages and power transformer as far apart on the chassis as practically possible, and even the direction the power trafo is oriented in can have an impact. Moreover, the importance of a proper grounding scheme cannot be overstated.
The Valve Wizard and
Aiken Amplification are some excellent online resources concerning this (and many other things tube-related) that you might find very useful and interesting.