Should I cite photos in my thesis? If I use photos in my thesis that I found on Internet, should I cite them? If so, how should the photos be cited? Should I write something like "In Figure 4.5 [9]" or should I cite it in the Appendix? Or should I add the source in the caption?
You must cite them!

Failure to cite photographs and figures is just as much plagiarism as stealing quotations. To some extent, it is tougher to use pictures from other sources, because you need to make sure you have the permissions to use them.

You should add the citation in the caption, as well as the requisite acknowledgments required by the author or publisher.