We report on the creation and characterization of heteronuclear Feshbach molecules in an optical dipole trap. Starting from an ultracold gas mixture of and atoms, we create as many as 25 000 molecules at 300 nK by rf association. Optimizing the association process, we achieve a conversion efficiency of 25%. We measure the temperature dependence of the rf association process and find good agreement with a phenomenological model that has previously been applied to Feshbach molecule creation by slow magnetic-field sweeps. We also present a measurement of the binding energy of the heteronuclear molecules in the vicinity of the Feshbach resonance and provide evidence for Feshbach molecules as deeply bound as 26 MHz.