How do I Preserve HTML for caption font (bold, italics, link breaks etc)

While in edit page mode I can insert html code inside the caption (just under an image). For example I can have some words in the caption text appear bold, italics or add line breaks. I can see these font changes while in edit mode but as soon as I press preview or save they are automatically removed and do not appear within the caption text.

Is there a way of preserving HTML and font styles inside the caption which will make the text a little more interesting (bold, italics, line breaks etc)

I have the Thesis theme, however I don’t think the theme has anything to do with the html being removed from the caption as this appears to be its default behaviour.

Thanks