I noticed you can turn in captured changlings with your security officer. Where and how do you capture them?

Thanks!

The new Link and That "Captain combat" mission at bajor...

And of cause random appearences

As far as i know, outside of the Bajor Holodeck program that you fight a changeling the only other time you can fight one (at this time) is the Fed Cardassian episode "A New Link"

You can also get a Changeling Boss in exploration mission inwhich you fight the Jem'hadar. That occur in the exploration sectors around DS9.

Changelings also appear in the Colony Invasion fleet marks mission sometimes.

I have fought changelings in those missions, but have you ever captured one? Can you sell them on the exchange?

The changeling capture is an addition that was introduced in the 2800 series.

To capture them, you need to "kill" them first.

In the 2800 mission in question, you also need to "not complete" the final step to not deliver the changeling, since that would remove it from your inventory.

I also belive they are bound to char.

Which mission is that? Is it Repel Jem'Hadr raid on local installation?

It's any random exploration ground mission in which you fight Jem'hadar. You can get a Changeling as the final spawn group boss.