VCC filtering for sensor
Put the capacitor as close to the device as possible on the small board.  You might want a series inductor (also on the small board before the capacitor).  Do not omit the 100nF capacitor shown in the datasheet, put that capacitor closest to the part and a larger capacitor a little further away from the sensor chip than the 100nF (1uF is probably a good choice if you are not sure).

All of this depends on the amount of conducted EMI on the power input wires.  

If the power is really bad, put a higher voltage on the power input to the board (possibly 5V) and put a high PSRR LDO on the small board to generate the 3.3V power rail for the sensor chip.

Shielded cable and connectors are probably a better solution than an additional capacitor and inductor.