Okay so I think I cracked it.
I am using the external carousel but this should apply to the other versions.
So under the first line mentioned below, in your jd.gallery.js file put the second line listed below. Please note that I put my title in the paragraph as the title h1 was used for the gallery name - so just swap it around to your liking.
this.carouselLabel = new Element('p').addClass('label').injectInside(carouselElement);
this.carouselLabel.id = "label";
Then in the function nextItem: function() put:
Same for the prevItem: function().
This will update the label title when clicking the arrows and also when the slideshow starts.
Finally you might want to show the image name when you first load the page, so put the code shown below at the end of the function called constructThumbnails: