Sub Captions()
On Error GoTo Error
Application.ScreenUpdating = True
Dim RngStry As Range, iShp As InlineShape, TmpRng As Range
For Each RngStry In ActiveDocument.StoryRanges
  For Each iShp In RngStry.InlineShapes
    Set TmpRng = iShp.Range.Paragraphs.First.Range
    With TmpRng
      If .Style <> "Caption" Then
        If .Paragraphs.Last.Next.Style <> "Caption" Then
        Exit Sub
Error:
          iShp.Range.InsertCaption Label:="Photo", TitleAutoText:="", _
           Title:="", Position:=wdCaptionPositionBelow, ExcludeLabel:=0
        End If
      End If
    End With
  Next
Next
Set TmpRng = Nothing
Application.ScreenUpdating = False
Resume Next
End Sub