[Danilo Gesualdo]"Do not even know how to generate the CC file, and if this can be done directly in FCP7 or do I need another software."
Other software...and a host of other things. First off you'll need to have transcripts made. Make them yourself or have them done professionally. Those CC words don't type themselves. You need someone to type them. Best to have them timecoded.
Then you need software like MacCaption. It can make the CC file out of the transcripts. NOT CHEAP...just know that. How does it work? Not sure, I haven't used it. I just know that many many people do use it. You'll have to contact them for that information.
[Danilo Gesualdo]"Working with video in HD .MXF"
How are you managing that? FCP doesn't work with MXF...unless you have decoders like Calibrated or Raylight or MXF4MAc.