One way is the following: Insert the illustrations (the source
document) in the main document (the target) via an IncludeText field.
If you want an easy way to exclude the illustrations as you print the
target document, just put a section break before the IncludeText
field.

To insert the field: Place the insertion point at the desired
location and, on the Insert menu, click File. Locate the source. Click
the arrow next to the Insert button, and choose to "Insert as Link".
With field codes displayed (use Alt+F9 as a toggle), the field will
look something like this:
{ INCLUDETEXT "C:\\folder1\\folder2\\...\\folderN\\filename.doc" }.

If you created your captions via Insert>Reference>Caption, you can use
Insert>Reference>Cross-Reference to cross-reference the captions in
the inserted document. However, since inserting cross-references
modifies the referenced text, you have to place the cursor inside it
and press Ctrl+Shift+F7 to save the changes to the source document.

If you don't want to save the source, you can bookmark the relevant
entries with the target document closed, and then open the target,
update the IncludeText field and create the cross-references (to
bookmarks).

If you don't want to insert the illustrations, you can reference the
bookmarks directly, instead, from the source file. But that means one
IncludeText field for each cross-reference, and if you ever need to
move the files to a different location, there will be a lot of field
codes to edit (since relative paths are not allowed, as far as I
know).

For more about IncludeText fields, see Word Help and
http://daiya.mvps.org/includetext.htm.

Hi anon

If you don't need the illustrations to float behind/before the text
layer (i.e., it suffices to have an illustration in its own paragraph
and the caption in the following paragraph), you can easily instruct
Word to never separate these. And the illustration layout will be
rock-solid that way.

[Yes, you will have to manually paginate in the end if you cannot live
with some empty areas on the bottom of pages, but then, if you cannot,
maybe LaTeX _is_ better indeed; of course, if you do that, you wouldn't
want to separate the text and the graphics at all, I reckon.]

HTH
Robert

And the answer is: "Type them".

You cannot use cross-references outside the current document without
using a Master Document.  If you use a master document, your troubles
are only just starting: it's a bad way to go.

Personally, I place my pictures inline with text, and in the position
they are required in the document.  Then all the cross references
work.

Once you understand Word's picture placement mechanism, you won't have
problems with pictures moving out of place.  The "secret" is to place
them all inline with text unless you absolutely require text either
side of them.  If you must use floating pictures, make sure you know
where the anchor is and what will happen to it if you edit the
document.

In your case, you "could" use Picture Placeholders.  Place a square
the correct size in your document at the correct position.  Put a
caption on it, and cross-refer to that.  After printing, you paste the
printed graphic over the top of it.

{Sigh}  Thirty years of development to enable Word to automatically
handle pictures correctly, and the users go back to the pre-computer
methods of paste pot and scissors, rather than spend 20 minutes in the
Help looking up how to do this...  :-)

Hope this helps