It depends on your specific case, of course. That 0.4mm is indeed a good rule of thumb. But also, assuming you're dealing with FFF-printed parts, generally if the two parts slide together along the layer lines, it'll feel just a little looser than if they slide together perpendicular to layer lines. That's just due to the ribbed texture inherent to FFF printing. Though printing at smaller layer heights will reduce that effect and also make the parts fit just a little looser over all.

Aside from that, probably the best advice I can give is:

1. Measure/calibrate for dimensional accuracy. [Here]'s a random article on the topic that looks pretty good to me.
2. Prototype. Print once, if it doesn't fit right, adjust the model(s) and print again. Filament is pretty cheap, really. Also, depending on your situation, you might benefit from doing quick test prints just to see how well it fits. If the whole print is going to take 8 hours but by spending 30 minutes printing just part of the final product you can prove you've got the dimensions right, it's probably worth it to do the 30 minute print.
3. Use elasticity to your advantage. Make latches or attachments that snap into place. That's useful whether the parts are meant to go together once and never come apart or connect and disconnect repeatedly. Another use for elasticity is if you need two arms of one piece to friction-grip another rectangulat piece, angle the arms inward just a degree or two. One word of caution, though. It can be really easy to overestimate the flexibility of PLA. I've ended up once or twice with some pretty hard to open latches.

Here's something that took me a while to realize and I haven't seen mentioned much: check where the start/stop points are on each layer (z-seam) and adjust so that they're not right on parts of the model that are small or need to be more precise (teeth, threads, hinge bumps, etc). I was having a real hard time with some print-in-place hinges, and the problem was that the layers were starting right near the hinge. The finer details were getting globbed up with the bit of extra filament there. Once I moved the z seam, it printed like a charm.

Probably not what you are looking for: I recently had to cut a part in two, because it wouldn't fit the bed. PrusaSlicer has a nice feature where you can add connectors to the cut. I then used a 2-component putty to glue them together and sanded the overflow afterwards.

It strongly depends on how well your 3D printer is tuned. Have you done any accuracy calibration? Try printing a generic test cube and measure the dimensions using calipers.

Also when printing horizontal holes in objects the holes tend to end up smaller than the 3D modelling software says it is. This is because the nozzle can't really do perfect circles and will instead print a polygon that looks round. It literally cuts corners. Another factor is that molten plastic tends to spread a bit to the inside of the hole. You can offset this by making the hole bigger in the design or by using a slicer setting. In Cura it's called Horizontal Hole Expansion.

When printing objects close together you'll need to use Slicing Tolerance (Cura term), that will affect how far different objects tend to be apart from each other. This is important for print-in-place gear designs or similar.

You will need to do a couple of test prints to check the tolerances of your printer.

It depends a lot on your setup and there is no golden rule. Just print small section of your models and try it out. It can be that your outer contours are more accurate than hole dimensions. You can use some slicer tuning (like hole horizontal expansion) or just modify 3D model. I prefer learning my printer errors and then just tuning my 3D models

You really aren't giving us enough info there mate.

"Fit together nicely" doesn't explain what yiu are trying to do exactly. Sketching out what you are trying to accomplish wouod be rather beneficial.

I highly recommend using heat-press inserts. They allow you to put a threaded hole pretty much anywhere. It makes designing much easier and the end result will be stronger.

So how will you be joining them?

CA glue ups? At registrations pegs to align it. Make the pegs slightly tapered so they start easy. Prusa slicer let’s you cut and add them if you need to print a thing in two goes.

Screw of some type? (I like socket head m-whatever bolts they look nice. If you counter sink a space for the head.)

then you got options. I’d recommend getting a tap to cut threads for low strength joins. You can cut thread straight into most plastics and this will also adjust a slightly underside hole.

Alternatively for much stringer joins, use heat-inserted thread (they’re brass beads you press in using a soldering iron.

Either way it’s generally a good idea to have over sized holes on one part do they slid freely into the threads and tighten down.

Also, tapered pegs can be used without glue- if you make the leg’s base slightly over sized and the tip under sized, friction will hold it loosely.

If you need a seal on the bolt down parts, you can make o-rings using air tubing (for fish tanks air lines,) and silicone caulk coming out a caulking gun- if you use an air compressor blower nozzle after it cures, ot comes right out. Or you can make them hollow by blowing compressed air through before curing.