If you can find the white pre-primed stuff which commonly used for the back of wardrobes and stuff, you can usually find it at B&Q and such, I normally buy an 8 feet by four feet sheet and let them cut it for me to different sizes, normally the same sizes as the two Scholershamer papers I have, just bigger than A4 and just bigger than A3, if you find this stuff, a couple of thin coats of gesso (sprayed if you can) will suffice otherwise you will need to sand.
If you use the normal bare 4mm MDF you will have to give it more coats with lots of sanding in between unless you can spray on every coat, I normally give two or three coats of household acrylic primer which is cheaper and then a couple of coats of gesso but that's before I discovered the wardrobe stuff
I recently bought a mini HVLP gun with 0.8 mm nozzle as did Mr Bean,
, he actually bought his first and I couldn't see green excremente go by me so I had get one too