Anything you like. MDF will soak up the first application as it's very absorbant. I used to give MDF a coat of cheap white emulsion, leave to dry then apply another till the MDF doesn't soak it all up. Roller is probably the quickest way to apply it and you don't need to apply a heavy coat. Alternatively some water based glue that's been watered down will do the same trick. Your just trying to seal up the MDF mate, it doesn't have to be flash. Leave overnight to dry once you've finished with the base coats. It might need a light sanding before applying the gloss.
There's probably some expensive purpose made stuff too but i wouldn't bother, white emulsion is cheap and does the trick