In a combined experimental and theoretical effort, we demonstrate a novel type of dipolar system made of ultracold bosonic dipolar molecules with large magnetic dipole moments. Our dipolar molecules are formed in weakly bound Feshbach molecular states from a sample of strongly magnetic bosonic erbium atoms. We show that the ultracold magnetic molecules can carry very large dipole moments and we demonstrate how to create and characterize them, and how to change their orientation. Finally, we confirm that the relaxation rates of molecules in a quasi-two dimensional geometry can be reduced by using the anisotropy of the dipole-dipole interaction and that this reduction follows a universal dipolar behavior.