It's almost always better to filter individual lines independently, making sure to match component values within tolerance, to minimize phase errors. You get CM and diff filtering in the same step.
You can apply CM or diff filtering independently (or at least, to a certain extent), but unless it's well thought out, it usually just makes things worse. Example: common mode choke on USB data pair. Without any termination resistance, the filter just makes more ringing -- a particularly bad situation, because USB packets intentionally begin/end with unbalanced signals, and USB signaling cannot tolerate load termination resistance.
Tim