I arrive from Madrid around 6 am. How´s the immigration / customs procedure? what´s the closest Metro station?
Have not been there for quite a while, but at 6am immigrations/customs should be relatively fast. Domodedovo is outside of Moscow, so you have to take Aeroexpress train, it will bring you to the Paveletskaya subway station (on the south segment of "ring" or "brown" line). See this link for information and schedule.