Insert a video onto a slide via the Media menu. (When inserting the video, insert it as Multi-Slide Synchronized Video. Also, select Modify slide duration to accommodate video.)
On the Properties inspector, select Edit Video Timing.
On the Closed Captioning tab and click on a Timeline location to mark where you want to insert closed captioning text.
Click the + sign to add a closed caption and then type the closed caption text.
Lather, rinse, repeat! Once you have finished adding all of the closed captioning text, click the OK button to exit the editor. And that's it! One note: don't forget to enable the display of closed captioning via your skin editor.