Given a choice, I would never order timber from any of the DIY sheds. I'd recommend visiting a timber merchant and selecting the lengths that you want and then getting them to deliver it to you. That said, if you are ordering MDF then it is less important to pre-select boards.
Personally, I am not a fan of MDF skirtings and architraves. Whilst they are cheaper, they are less able to deal with vacuum cleaner knocks and general wear and tear (especially anything water related).
