There are two types of theater captioning - open captioning or OC (thecaptions are burned onto the print for all in the theatre to see) and rear window captioning (the user picks up a device at the theater that displays captions onto a screen (or "window") propped up in front of the user.
OC: http://www.insightcinema.org
RWC: http://www.mopix.org
You can check their websites for information on captioned films and links to the theaters in your local area.
If no theaters in your area provide captioned films, you may want to join local deaf and hard of hearing advocacy groups and work with them to encourage theater chains to provide captioning services.