I'm building a guitar and have come to the electronics part of the build. I have everything from the pots to the pickups, however I'm clueless when it comes to the capacitors. I know that a 0.22uf capacitor is needed between the tone and volume pot, but haven't got a clue about the other smaller capacitors some people attach to the pots. Do I need something other than the 0.22uf capacitor on my 1 volume 1 tone double humbucker tele?
No, you don't need any others. The smaller caps are called 'treble bleed' caps. Normally, rolling down the volume makes the tone a bit darker, and a treble bleed cap keeps the signal bright (to what extent depends on the cap value). You can add one if you like but they're certainly not necessary.
Roc is right, the 0.22 should do the trick, and if it doesn't sound right you can play with that value. I had to change the one in my Harmony a while back to get more treble, I think I wound up with a 0.39 if I remember correctly. I'd have to open it up to find out...Just depends on how the tone comes out, the one you're planning on is the usual standard but can be changed if you need more treble or less. If you got the right pots, you should be good to go.

Do yourself a favor, if you're not good at soldering do some practicing before you start, if you need some tips ask, I was taught by a pro and have been doing it for 30 years, I usually get factory quality soldering jobs. It's not that hard, but if you get a "cold" solder joint it won't last. Before someone taught me the correct way I was lucky to get 2 months out of a guitar cable...
Hmmm...I wonder what this button does...
Without getting too technical here's all the help you need on the subject.

with capacitors they hold a pre-determined amount of charge. The bigger the value the better. We're not concerned with the voltage they can go up to as at most there is roughly 9-18v of electricity flowing through a guitar. The average capacitors I use which are the cheapest are the green mylar ones that go up to 100v of electiricity they can hold.

anyways.. two things to be concerned about at any time with capacitors and pots
1- the larger the capacitance the more treble it'll hold for a tone knob or any other guitar effect. So a 0.1uf capacitor holds way more treble then a 0.0033uf lets say.

the larger the resistance (B250k vs B500k) the less sensitive it'll be. Always go linear for tone knobs.

other than that, that is all that goes on with capacitors. There is a bunch of mods you can do with them such as the "half out of phase" , "fender greasebucket", "fender jazz mod" and even filtering a certain % of output of your pickups to get clearer sounds.

to answer your question though..
a 0.022 capacitor is predominantly used on single coils and weak output pickups, so that or a 0.033uf it depends on how much treble you want to cut. This is the beauty of playing guitar there is no rules set in stone. Granted a 0.1uf capacitor rolling it to 0% you'll get undesired results on a medium output pickup but yeah you'll do fine. If you do use higher end capacitors remember to use heat sinks.
No offense, Tallwood13, but that is quite possibly the worst description of how a tone control works that I have ever read...

And what's this about heat sinking higher end caps? Is that just a typo?