My default caption is JW_SIG etc.  How do I change this to be individual captions for each photo? I have not got any options in my plugin interface to change captions (just turn them on, which I've done).

Which SIG version do you use?

This topic is very similar what I want to ask.

Can I change the caption in SIG free version too, or only in Pro?

If yes, how do I do that?

This is possible only with SIG PRO version.