Thanks for your reply. I either just drag and drop the SRT file or use the Import command.
But after struggling with this for a while I have found a much better solution by using a script in After Effects where I can actually change the text’s appearance.
As far as I can find in Premiere, the Captions/Subtitle options are very limited and they don’t look the way I want them to.
Maybe someone else knows more about this and I’ll be happy to learn more about the customizability of Captions/Subs in Premiere. But for now I’m gonna use AE.