  Calcium monofluoride (CaF) molecules are loaded into an optical dipole trap
(ODT) and subsequently laser cooled within the trap. Starting with
magneto-optical trapping, we sub-Doppler cool CaF and then load $150(30)$ CaF
molecules into an ODT. Enhanced loading by a factor of five is obtained when
sub-Doppler cooling light and trapping light are on simultaneously. For trapped
molecules, we directly observe efficient sub-Doppler cooling to a temperature
of $60(5)$ $\mu\text{K}$. The trapped molecular density of $8(2)\times10^7$
cm$^{-3}$ is an order of magnitude greater than in the initial sub-Doppler
cooled sample. The trap lifetime of 750(40) ms is dominated by background gas
collisions.
