When placing a caption beside body copy what is the general rule of thumb? Should they both have the same leading? For example, my body copy is 7pt with 9pt leading should I set the caption to 6pt with 9pt leading? see attached sample. Thanks.

I would use the leading that best suits the caption size, rather than try to align the captions and the text on the same baseline grid.
Here's why: The captions should have a stronger visual connection to the art or photos they describe than to the adjacent text column. Also, I would want the flexibility to scale and crop art and photos however they work best. I wouldn't want to have to scale or crop them to line up with the text baseline grid, just for the sake of aligning the captions.
Captured from commoncrawl.org on 19 Apr 2015. original URL