How do I make subtitles / captions in Final Cut Pro?
There are two different ways to do this - the way you are doing it, and the other is by using a text track in QuickTime.

The advantages of the way you are doing it:


You get more exact control over the font
You can ensure they show up
It works 100% of the time.


The advantages of doing it the other way (with a text track in QuickTime):


The captions are optional, and can be turned on or off by the viewer.
A single video file can be captioned in different languages, and those captions can be selected by the user.