Here are the steps to follow: 

1. Ensure that the surface of the panel is smooth. Fill small nail or screw holes with a pore filler. 
2. Perform a three-step sanding of the edges and profiled parts of the MDF: first with a grit of 120 to remove saw or machine tool marks, then with a grit of 220, and finally with a grit of 320. After these three steps, all surfaces should be very smooth and free of any visible defects. Dust off and clean the surface with a Tack cloth. 
3. Note that MDF is composed of glue and a catalyst that can react with the lacquer products used for finishing. To avoid any migration issues, use a catalyzed primer or a barrier primer like BIN. 
4. Apply a minimum of two coats of sealer primer to cover the MDF texture well. Then, sand with a grit of 320 or 400 to level the primer coats. Apply two coats of colored lacquer as a final coat. Note that spray primers are generally white, but colored primers can be obtained. In this case, it will be possible to finish the applications with a clear lacquer. 
5. Choose water-based products rather than solvent-based products, which are hazardous to the environment and users.