So basically when I get an illo section to do, it's in a separate ID document.
InDesign CS3
And looks a little like this:
You then need to, if you haven't already, apply a caption Paragraph style the caption text...
Then. All I do is rearrange the caption boxes to be underneath the photos.
And then group Photo box with the Caption Box.
That's it.
Export to digital editions:
TextWrangler
Open the both the Contents.opf files of the newly created illo Section and the eBook .opf file the illo section is going into.
And just copy the Image information inside the manifest section, into the main OPF manifest
Dreamweaver
Open the illo section .CSS file, and insert the page break line to the caption style.

Then copy it into the "book" template.css
Then open the illo .xhtml file. and cop and paste all the stuff inside the <body></body> tags, and past it where you want it to go inside you book .xhtml files...
So after a bit of fine tuning the code you should end up with something looking like this:
And from the design view:
I hope this all makes sense.
Adjust