Best way to filter VCC to Radio Micro
The fact that plenty of people have used an esp by just jamming in onto an arduino board with no special filtering or anything tells me that the esp has a better tolerance to supply noise than you might think. The average micro draws next to nothing (and will probably be using it's internal regulator to feed its core anyway, giving you extra isolation anyway). Even in mobile phones (where the radios are more sensitive and the processors draw way more power, a few ceramic capacitors is usually all that gets used, maybe a ferrite bead on the radio but that'd be it, as long as you have sufficient capacitance at the load end, you can put a ferrite bead anywhere, it's when there's not enough bulk capacitance that ferrite beads cause problems as they act like high value resistors to high frequencies.