To perform the installation do the following:
Choose Install Guest Additions... from the VirtualBox menu. Open a terminal window in your guest system. Do a

cd /media/VBOXADDITIONS_3.0.6_52128/
(the foldername will change depending on the VBox version). Proceed as described below.

1. Cannot execute .run file

When you try to execute the installation file (e.g. VBoxLinuxAdditions-amd64.run), you get an error message like this

[root@integration /]# cd /media/VBOXADDITIONS_3.0.6_52128/
[root@integration VBOXADDITIONS_3.0.6_52128]# ./VBoxLinuxAdditions-amd64.run
-bash: ./VBoxLinuxAdditions-amd64.run: /bin/sh: bad interpreter: Permission denied

The solution is to use the command

sh VBoxLinuxAdditions-amd64.run

instead (choosing the right architecture, it was 64bit in this case).

2. Installer complains about missing gcc and Linux kernel headers

The solution to this is to update your kernel to the latest version and install headers and sources for it. VirtualBox requires to compile some drivers when it installs.

Just execute
yum update kernel
yum install gcc
yum install kernel-devel
.
Run the installer again and everything should be ok.