Media Gallery Caption Links – How to?

After giving up completely on using image captions in the last WP version, I am attempting to make captions work in 3.5.

How exactly does one place a link in the image’s caption in gallery mode?
Is there an easier way than writing code?
How can we format the captions in the gallery?

Here’s what I’m working on: https://bcatw.org/board-of-directors/

Thanks in advance!