The CHI030 PICAXE 18 Standard Project board supports an 18 series PICAXE with outputs through a ULN2803 Darlington driver. If you are using the Darlington outputs only then you do not need protective diodes across moderate inductive loads because such diodes are built into the Darlington array of the ULN2803. So the full answer is that a diode is necessary, but it is already built into the Darlington driver IC. If, however, you are using a relatively high current device that produces a heavy return spike, then it is prudent to lose this at the source with a diode immediately across the terminals of the inductor rather than having a spike current running along a length of cable all the way back to the Darlington array. You may also discharge a heavy spike through the diode and a small capacitor to dampen the effect even more.
The Darlington driver can provide 500 mA through each of the outputs, but not all at the same time. The data sheet for the ULN2803 includes a graph that shows the permissible current output for any combination of output pins against the duty cycle of the load. Many sources seem to infer that you can just bang half an amp d.c. through all the pins at the same time without worry- you cannot!