This is basically what I did:
1. Sanded MDF with 600 grit to get it as smooth as possible
2. Applied
OIL-based primer - rolled on with a 4" foam roller (2 coats). Sanding after the 2nd coat with 220 grit.
3. Applied water-based pink paint - rolled on with a 4" foam roller (6 coats). Sanding after the 2nd, 4th and 5th coats with 220 grit.
4. Sprayed on 25 coats of lacquer straight from the can - no sanding.
5. Wetsanded like crazy with 1500 grit - I spent 8 hours just on this step
6. Applied rubbing compound with soft cotton rag (2 coats)
7. Applied polish with soft cotton rag and buffer (2 coats)
HERE are a few good shots of the difference the rubbing compound/polish makes.
I did not have access to any spraying tools/materials, unfortunately. The lacquer was easy to apply though - I did it all in one weekend since each coat dried in 20 minutes. I couldn't get it perfect but the finish still looks 1,000,000 times better than leaving brushstrokes on there with ordinary paint, IMO. It almost looks like it came from the factory or something.
Good luck with whatever you decide to do - I'd be happy to answer any questions if I can...