I'm also writing each chapter separately, but I have used the 'headings' option in word to make all headings compatible, so I can change them en masse when I get to the end - at the moment they are just the default settings. I have sort of started a master document, but the problem I find with this is that you have to set it up for every place you have saved your documents, so if you have told the computer to look for, say, your introduction document on your computer because that is where you are building your master document, you can't just put a copy of that master document on, for example, your memory stick as it appears unable to realise if you are using a memory stick it needs to look for that file on the memory stick, and says it can't find the path. This is a bit annoying, but no-one I have asked has been able to solve this one.
I have my references in endnote, but only as a sort of store. I've a word document with them all in, everything I have used is there. I've copies in several places, plus a hard copy or six (:$) and will upload that one into the final document.
The contents page is a good tool, but it took me a while to get it to do what I wanted, you could try it out with a dummy run and a dummy set of documents, figures etc. to make sure it works for you - before the deadline looms. Its not something to start looking at at the last minute!