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Using InDesign - more flexible and powerful. For instance, having background color for text box, different shapes of text boxes.

1. Open InDesign.

Create a document that has the same page number as the PDF file and same page size as the PDF file. 
Note: To check the PDF file page size, open the PDF file in Acrobat, go to File-> Properties...; Advanced -> Page Size.
In this case, the PDF file has 21 pages and 5.83in x 8.27in in size. 
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1. File-> Place, Tick the box of Show Import Options, Select the PDF file, click Open.
2. On the place image window, choose pages "All".
3. Click on the upper left corner of each page in order to place the PDF pages.
4. Once all the pages are placed in order. File -> Save.  You can use Type tool to add text.
5. Step-by-step instructions on creating speech bubbles on creating call-out box or cloud shape in InDesign.

References

1. Creating Auto-Size Speech Bubbles

   http://indesignsecrets.com/creating-auto-size-speech-bubbles.php

2. Get Creative with Vector Speech and Thought Bubbles
   http://creativepro.com/get-creative-vector-speech-and-thought-bubbles/

3. Quick Tip: Create a Speech Bubbles Set with the Appearance Panel
   http://design.tutsplus.com/tutorials/quick-tip-create-a-speech-bubbles-set-with-the-appearance-panel--vector-5065