Courtesy of Jon @ EpicenterDesigns:
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This is how I do it. Not to be meant as the only way. Got something to add to it? Post it up.
MDF is not flat. It appears to be, but once you do any guide coating and sanding, you will see just how uneven it really is. I mention this before hand so you have an idea why I take the steps I do.
I use Elmers Wood Glue and brad nails to assemble my boxes. If you use screws, you need to countersink them so they can be filled in. Also make sure the screws are not to close to the edges if you plan on using a roundover bit on the box.
I use Duraglass to fill in screw holes or nail holes and on all the edges where the box pieces come together. Then use a sander to level that filler with the box using some 80 grit. At this time you can go over the entire box just to get everything pretty close to level.
Then I go over all the edges of the box with a 1/2" roundover bit.
Make sure all the dust is blown off the box and lay on some good quality filler primer. I use Slick Sand and a 2.0 tip spray gun. (it may be possible to do it with rattle can primers, but you will need alot of it).
I do a good medium coat and let it sit for a couple hours. This will allow the MDF to soak in whatever paint it will. MDF is alot more dense than your average wood so it doesn't soak in alot, if any, primers.
Clean the box again of any dust and spray on a good heavy coat of filler primer now. Let that dry and then guide coat it with some flat black paint.
You can block it out with some 150 -180 grit and see if you have any low spots. If you sand down to the MDF before all the low spots are gone, spray on some more filler primers to fill it in and cover the bare MDF. Repeat till you have a smooth primer finish.
Then top coat with whatever paint you want.
Edit: This process works very well.