Another thing you could do is installed a prerooted kernel. I installed Samurai kernel that has root built in. Then you just install superuser from market. And it already has a custom recovery built in. Simply flash via Odin.
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The Odin kernel method for rooting the latest Gingerbread 2.3.5 has been causing wi-fi issues, at least on Captivate's, probably on other androids as well.You've been warned! Can't wait for a new superoneclick for rooting with Gingerbread 2.3.5 though.
The previous superoneclick will NOT work on Captivate's however.
Another warning for poor saps like me scouring the web for means of rooting Captivate's. My very first post, and I wrote a freaking novel. Whoops...