The issue I've run into with thin vinyl is that is will show any imperfections in the wood underneath it. You might try with a small piece first and see how it looks. If it is okay, remove it and do the whole piece of MDF.
If you do see 'bumps' or 'warts' coming through the vinyl, you will need to make the MDF completely smooth. Using a primer is usually the best and easiest way to do this as it will fill in the recessed 'holes' in the MDF. You'll need to sand afterwards.
I'm wary of many of the 3M and other adhesives with thin vinyl. Some of the adhesives have chemical properties that will either react with the vinyl or bubble under it. The result is a lumpy vinyl application.