Captions not through HDMI cable--help!

I have a 42" true HD TV, and a Sony upconverting DVD player (had the wonderful Toshiba A3, but had to return it, as it would not successfully play DVD +R's (all I own); the Sonys always do without a problem (any advice on this, or comments?). I use an HDMI cable, but captions are not available when hooked up this way--what are my other options? Hook up a DVI cable OR 3 component cables to get captions--and then do i just switch the input on my TV and it'll show me the DVD run through that way rather than the HDMI cable? I can have all of those hooked up simultaneously, right? And will the upconverting be the same, do you think, as it is through the HDMI input? The same quality? Or will my DVD player NOT upconvert unless it's through the HDMI cable (or won't show as good a picture)? What are my best options to be able to view captions and still get the best picture possible?

 

Thanks.