We present the essential experimental steps of our all-optical approach to prepare a double-degenerate Fermi-Fermi mixture of 6Li and 40K atoms, which then serves as a starting point for molecule formation. We first describe the optimized trap loading procedures, the internal-state preparation of the sample, and the combined evaporative and sympathetic cooling process. We then discuss the preparation of the sample near an interspecies Feshbach resonance, and we demonstrate the formation of heteronuclear molecules by a magnetic field ramp across the resonance.