Weird that no one else so far has offered a way.
I use Corel Photopaint, but Photoshop should work the same way..... and I can only say what I do.
1 Open a new file specifying the resolution with the trade-off of high definition against huge file size. e.g if you are printing A4 then much beyond 200 dpi cannot be seen without a lens!
2 Adjust any basic changes you wish to make to any of your pictures....... Import your pics one at a time, and position them in this new file (you can make adjustments to actual size in (my) Print Preview if you didn't do it before importing. You can of course simply copy and paste instaed if you prefer ..........
2a Probably safer to save each time you have finished with the latest import.
3 Repeat 2 as many time as necessary to fill the sheet, save and print.
Captions can be written freehand and placed where you want on this final file/sheet after importing all the smaller files.