Actually they are quite different, and you could even use both in your example sentence:
Each chair leg is individually joined to the seat by screws.
"Each" is used to refer to multiple things, which are regarded and identified separately. It can group those individual things together, for example, "each day I go to work" is referring to every day that you go to work. Yet, it is different from "every", because a person may work 5 days out of 7, so saying "each day" rather than "every day" refers to all the specific calendar days that you personally work.
"Individually" means one by one or separately, so rather than group things together, this is used to break them up again.
In my example that uses both words, "each refers to all the legs of the chair, and "individually" refers to the fact they are fastened to the base separately.