I am using this method:
The thread script does not work here and do not know what's wrong.
The file has two hundred of pictures + captions and the method is not very good.
What thread script? What are you expecting?
You cannot thread text and image frames together. What you are doing with copy/paste is making an inline anchored object that moves with the text as you edit.
Just to be clear, when you paste an object as an anchored object as Peter just wrote about, you should be copying an InDesign object (like an image that has been placed into InDesign). Some people think it's OK to open an image in Photoshop, make a selection, go back to InDesign and paste. It's not clear from your post which method you are using, but in case it's the latter, I just wanted to give you (and anyone who finds this thread at some other time) a heads-up.
Once pasted, the object will respond like a text character. It will have many of the paragraph attributes like left/right/center alignment, space before/after, indents, etc.