Nothing to stop you putting field codes into a text box.

I have two suggestions:

1    Create a new style (potentially based off of Normal or Body Text).
Modify the style Paragraph property to include "Keep with next." Assign
this style to your image. Your caption, by default, will be below the
image and Word will endeavor to keep both of those items together.

2    Make a large, one-celled table. Insert your image in the table and
insert the caption in the same cell.

See if either of those help.

Tom Campitelli