That's exactly the same one that I used to have. A nice pistol and something different to rifle shooting! It takes patience to shoot well with it though...
Make sure the caps are the right size. When I had my pistol (identical to yours) the Remington No11 fit really well and I would seldom get any blockages/jams.
I would reccomend squeezing the caps into a vague rugby ball shape before placing them on the nipple as this will keep them in place even more.