Yes, between pin 14 and 5 on the PIC as close to the chip as possible.
It's needed because as the current thru the circuit fluctuates (rises and falls) quickly (which it does in digital circuits, not to mention motor control and other "high power" circuits) the resistance and inductance of the wires and/or PCB traces that "feeds" the chip makes the voltage at the chip unstable.

If you look at ANY profesional PCB/circuit you'll see a bypass capacitor right next to EVERY chip for this particular reason.