Sync your soft subtitled movies to your iPod Classic/Nano (4th gen) using iTunes as you normally would.
First you need to activate the subtitles feature on the iPod like this:
From the main menu select Videos->Video Settings and Set Subtitles to On.
Subtitles has been tested and verified to work on the iPod Classic (software 2.0.1) and the iPod Nano (4th generation, software 1.0.4).
This is what it will looks like on my iPod Nano.
And on my iPod Classic.
Enjoy!