Right at the device, I'd stick a 100 pF microwave cap (like AT Ceramic's single-layer caps, Microcaps, etc). Similar to Tony, I'd stick a COG 100 pF cap in the DC bias circuit, then something more "bulk" beyond that, at the power input point to the board... 1-10 nF, etc, and bigger uF parts beyond that, depending on your on/off transition-time requirements.
Look at the device's manufacturer's datasheet or app note. The manufacturer should give you a recommended circuit implementation, especially when it comes to the bypass cap configuration.