In Pro 1.5 I like to use several sequences and then have a master sequence, where I put all my other sequences in to form the completed film...

Does one have to render in the individual sequences and then render in the master, or just in the master? Does it depend on where you're going to view it? And if you render in both, is it taking up more hard drive space?

You only need to render the master and yes, if you render both it takes up more room.