We report on the creation and characterization of heteronuclear (KRb)-K-40-Rb-87 Feshbach molecules in an optical dipole trap. Starting from an ultracold gas mixture of K-40 and Rb-87 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.