What is the best way to save recorded audio with a photo?

Photos with audio captions are usually shown in the metadata panel. These are normally .wav files which can be listened to on most computers. AFAIK they can only be linked to the image in Organizer when viewing full screen and clicking the audio button (bottom right) but you could create a slideshow. This would involve a bit of work but you would then have an mp4 video file to export and share or upload to YouTube or for viewing on a TV/PC. You would need to start by selecting the photos and then go to the Create menu to make a slideshow. In the slideshow audio panel you can delete any automatic music and add individual .wav files in the same sequence as the photos. Try experimenting with two or three photos to begin with. The .wav files can usually be found in the same folder as the original image e.g. if stored in Pictures go to:

Pictures/Adobe/Audio Captions

You can double-click on any .wav file inside the Audio Captions folder to listen to it separately.