I have find a better answer thanks to jonicas here
http://wpsites.net/wordpress-tips/how-to-add-html-links-in-wordpress-image-captions/

Now I have give it a try and see how is work and thanks to all those that give me their answers.

Yes, you can. Shawn explained it pretty well, Francisco. Hope it worked for you!

Great question and looks like training is coming from Shawn. :))

Thanks for the question. I knew you could add a link to the picture but not the caption. Learning more everyday!

yes, you can just add the link. Click on the picture you want to link while in the edit mode of the post and you will see all kinds of options. You can also turn the picture into a link. I will be putting out a training on this later today :)

Yes...if you created the caption, or typed it yourself, you can. You will highlight the portion and insert a link.

You can link the whole image, not on the caption though, as far as I know.

Not sure, I think if you have good traffic then your visitors like your site. If you don't have good traffic then it may be a good thing. You may also want to re visit some things on your site as well. Think about what you would want to see if it wasn't your site...:))

Good discussion! I'm thinking about it, too.

There is only one way to answer that and that is to do it and test it. A theme change is not permanent you can always go back.

Hi. I have changed themes a few times. It's interesting to pick something out, and see what your information from your current theme looks like in it. Some work better for you than others.

If you're asking if there are negative impacts on how your site is ranked, I don't believe it matters in the least. As long as you still have your same content, it would all be good.

Did I understand your question correctly? Michelle