Would that be using CS5's automatic caption function, or just "captions in general"?
If the latter, I s'pose it's not too hard to write a quick & dirty script to add a text frame below (above?) each image, sets its width to the image size, sets the height to a reasonable amount, optionally add an object style to it, and (for instance) copy the image file name into it so you know what you're talking about.
If the former ... anyone else?
It's the former. Using the InDesign Live or Static Captions feature.