Thanks Emily, that worked!
For those that are interested, I got the gff file from here:
ftp://ftp.ncbi.nlm.nih.gov/refseq/H_sapiens/annotation/GRCh37_latest/refseq_identifiers/GRCh37_latest_genomic.gff.gz
Then unzipped, sorted, bgzipped and tabix indexed, as described on the VEP link provided by Emily. This adds additional refseq annotations to my output that would otherwise be missing if I only used the -cached refseq annotations.