Got answer from vim_use Google Group:
http://groups.google.com/group/vim_use/browse_thread/thread/eb9892ad08345489

> The cygwin version of ctags produces filenames with slashes. If you
> use only relative paths, i.e. if you run the ctags command from the
> projects' top directory and save the tags file there, you get tags
> file that should be useable with windows gvim & cygwin. You can use
> multiple tags files in vim.

With this in mind, I re-ran my tags commands (from Cygwin) in the following way,
to ensure the tags files get created in the same directory that the source files
are within:
cd 'C:\rob\apps\java\jdksrc\jdk6.14'
ctags -V -a -f '.tags' --language-force=java -R
cd 'C:\rob\work\projects\nd\ford\tp07\rtb\src\java'
ctags -V -f '.tags' --language-force=java -R

And then added the following to my .vimrc, using Cygwin paths (symbolic links I
had made):
autocmd FileType java set
tags=/apps/java/jdksrc/jdk6.14/.tags,/wd/src/java/.tags

Now my tags work nicely - thank you very much!

Rob
:)