Simply add to the embed code
after the movie URL and inside the quotation marks.
You can learn more about captioning and see the link to the video demo on her page here: http://speakuplibrarian.blogspot.com/2012/05/captions-set-automatically-to-on.html
Sarah is also one of Oticon's Advocate of the Year. Be sure to take time to check out her blog and some of the ideas she has brewing.