I bought some of that spray paint that looks like stone and was wondering if I still need to primer my MDF box since it will be a rough finish afterwards.
I would recommend that you prime your MDF with at least a couple layers no matter what kind of paint you are using. However it's not necessary to sand between layers if you're using textured paint.
I use the "High Performance Rust Primer" made by Rustolem. It is the taller can..Lowe's has it on sale now. It is a red color...does wonders for painting.
Everytime I paint something car audio related I used primer. You can use scrap pieces to learn the difference for yourself
That stone paint is called fleckstone. A variant is sold at Lowe's as well.