After you have dragged the picture in, click to the right of it and you should get a cursor appearing at the right bottom of the picture and you should then be able to press return and your cursor should move and let you type.

If that doesn't work I'm a bit confused but I think that the following would work

Open a new document
Type in the captions with two or three character returns in between
Click in a space and choose Insert from the menu and Insert a picture from file
Navigate to the pictures and put them in position

Can't see how that would fail