MDF certainly needs to be sealed before finishing. End grain (I.e exposed cut edges) will need more coats of primer than flat surfaces. Denib between coats of primer with something like maroon Scotchbrite (Scotchbrite like materials available from Machine Mart and some DIY stores). It is generally better to work up through the grits of sandpaper before priming, to at least P320 if you want a smooth finish. Vacuum you or wipe off areas with a tack cloth or lint free rag dampened with white spirits or the like between grades of paper for better results
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