As already said, these days commanders and command squads are physically separated. Characters can still be protected from sniping through the look out sir rule, and nothing stops you just placing the two units right next to each other
Transports can carry multiple units so long as they have the space to fit them, so you can stick a captain and his command squad in a land raider. However, my understanding is that the land raider is currently not considered worth its points, its rather expensive and people feel like you can get better things for those points, especially as terminators have a native deep strike capability to get them up the board.
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