Can I cross reference in a masters application? When applying for a masters degree, you usually have to submit your CV, a covering letter and a transcript. Do I assume that these three are usually read together, or do I need to repeat certains bits of information between the three?

For example, on my transcript you will find all my grades from my undergraduate degree, and on my CV I have a short list of some of the units I have taken, but I have not written the grades for the units because they are in my transcript. Is this ok or should I also write the grades next to the units? I worry that it'll clog up my CV.
They would normally be read together so it isn't really necessary. Some redundancy might be good if you want to emphasize certain things. But it would be normal to have your materials in a folder that is reviewed by members of a committee. If electronic versions are used, they would most likely be kept together also. But your cover letter might provide some emphasis on the things you think are most important. 

Many places also ask for a Statement of Purpose (SOP), in which you can write about your goals and how your background puts you in place to achieve them. You can also provide the needed emphasis in such a document.