This is a common wish. The ability to allow text to be other than the top-most layer has been requested of Photodex. Someday it may be implemented but I doubt it will happen anytime soon. (But, you never know!)
So, your only option at this point is to create and use graphical text. There are two ways of doing this. If you want simple text you can create it in Producer. Or, just use a graphical editor (Photoshop, Photo-Paint, Gimp...) - your text can be substantially more sophisticated looking. Another option is using Digital Juice's Fonts or test created in Genetica (not cheap tho if you only want to do text a time or two or for only simple text).
For the Producer method, create a blank slide. Go to the captions section and add a caption. Next, right click over the main preview screen (it's above the timeline). Select the last option on the popup menu: "Capture Frame(s)." The next dialog to appear defines your output. In this case, just capture the current frame. I would select the output format that matches the screen aspect (e.g., 1280x720). Click on "OK." Next, you're provided with the option to give the file a name and a location in which to save that file. Additionally, you can save it as either a JPG or a PNG with the default name of "frame.jpg."
As to the graphical editor method, you're on you're own there since they all are a bit different. However, I would note that you probably want to set the main area (what will be saved with your text) to the aspect of your show. This way you can give a consistent size to your graphical text entries. It also aids in the positioning of multiple captions. Just make sure to not have a background (or make it transparent upon saving). That implies a text format that supports that (JPG doesn't, PNG does).
Good luck and Have Fun!