Well, you don't want to sand the primer completely off, but you do want to sand it as smooth as possible with the 220 and clean it with a tack rag between each coat. Most importantly, make sure the MDF is sanded as smooth as possible before you hit it with any paint. If your not particularly good at spay painting, then I would recommend going with the flat paint, as the gloss paint will show every imperfection in your paint job. Personally I try to avoid painting whenever I can.