Best way to create closed captions in Premiere CS6? No 3rd party software!
To answer your question, you can't create Closed Captions in PP CS6. It's a new feature only available CC onwards. 

Source: From Adobe forum 
You have a few choices -- there are two commercial products that I have used and know about, to create sidecar closed captioning files that are usable in PPRO and follow industry standarads for CC: CPC (www.cpcweb.com) makes a authoring program called 'MacCaption' for MAC and 'Caption Maker' for WIN. Also, a German company (www.zeitanker.com) makes a program called 'Annotation Edit'.