Listen to people, read books and newspapers; write down and save funny adages and sayings. Add to your collection any phrase that could be a hit. You never know where you will find the diamond for your caption, so keep your eyes (and ears) open everywhere, all the time.
Don't worry if you can't come up with a right caption on your own. There is no need to reinvent the wheel. Warning: this doesn't mean that you can use tiresome memes and quotes from Facebook
and other social networks.