*assumed* follows

That the IMG tag is always followed by a caption (p tag)
(BTW I don't think a naked <img is allowed) I wrapped it in a basic div
REGEX (saved search if you intend to use again)
Simply search
Code:
(<img .+?</img>)\s+<p>(.+?)</p>
Replace:
Code:
<figure>
<div>\1</div>
<figcaption>
<p class="caption">\2</p>
</figcaption>
</figure>