I have not been able to find the answer to this anywhere so I decided to ask here. 
When building a 6s quad with individual escs, do I have to put a cap on each esc or can I just put a big cap on the battery lead and be okay?

It all depends on how much noise you will have. I recommend no cap first, if you have a lot of noise, you can add a cap to the battery lead. If you have serious cap, you can also add caps to the ESC.

I always add a cap as an insurance policy even if the ESC already has a load of Tantalum caps on the board. As well as suppressing noise, a low ESR electrolytic capacitor can help to suppress voltage spikes that otherwise has the potential to damage some of the electronics. They're not as good as a proper spike absorber but still better than nothing. It's usually easier to plan and install one in the first place when you are doing a build than to try and shoe-horn one in later, unless you laterally have no space to put one.