I do this quite frequently. I typically do a “Link Footage…” on the clip and (as long as the filename is the same) do an automatic linking via “Filename” (not extension, since this typically changes) in the folder that contains the proxies.
I usually copy the caption file in the project box and then “Modify > Captions” to the proper caption type. But this might only work one way (from 608/708 captions -> Open Captions), which is usually the only direction I go in.