Quantum chemical methods were used to study the molecular structure and anharmonic IR spectra of the experimentally known closed-shell molecular hexafluorides MF6 (M=S, Se, Te, Xe, Mo, W, U). First, the molecular structures and harmonic frequencies were investigated using Density Functional Theory (DFT) with all-electron basis sets and explicitly considering the influence of spin-orbit coupling. Second, anharmonic frequencies and IR intensities were calculated with the CCSD(T) coupled cluster method and compared, where available, with IR spectra recorded by us. These comparisons showed satisfactory results. The anharmonic IR spectra provide means for identifying experimentally too little studied or unknown MF6 molecules with M=Cr, Po, Rn. To the best of our knowledge, we predict the NdF6 molecule for the first time and show it to be a true local minimum on the potential energy surface. We used intrinsic bond orbital (IBO) analyses to characterize the bonding situation in comparison with the UF6 molecule.