I've created a 28cm object and exported as an obj. When I import it into Keyshot, it's too tiny. My question is, when people create jewellery and other small items, is it common practice to make the actual size far bigger or stick with it's actual size ?
OBJ can be a funny one. I believe it does not necessarily carry the units or scale of the object as set in the software you used to draw it. It is simply a coordinate system for recording the vertexes of your geometry. It can contain a scale unit, but its down to both the exporting software and the importing procedure whether that actually carries across.
If you can, I would try using a different file format. Keyshot can read and tesselate various nurbs outputs like Step, Iges, Rhino and various CAD formats too.
As for what size to model, I typically keep it as actual size if the modelling software doesn't take issue with it. Sometime you need to sharpen up your tolerances on particularly tiny stuff, so you don't get errors and inaccuracies slipping into your surfaces. Keeping it at actual size will make life a little easier in Keyshot too as textures tend to show it close to the desired scale and with materials like glass the attenuation of light would behave as expected.
If you haven't already done so, what happens when you set the Scene Units to match the model. (Edit>Set Scene Units>...)
Tried a number of variations and nothing seems to work.