The whole purpose of the primer with MDF is to seal the compressed wood cells to slow the absorption. The most common mistake in finishing MDF is that you don't leave the primer enough time to dry.

Sanding, use either 180 or 220 and you are just trying to knock of any nibs or bumps that will have raised on the surface. You are not trying to remove and sand back down smooth. Over sanding will likely do you more harm that good.

I would suggest that you put on at least 2 coats of primer onto MDF with 4 hours between the first and second coat. Then give it a good 12 hours before you start to apply any finish over the primer. Are you using a HVLP sprayer to apply the finish?

As for sanding. You need to know your palm or orbital sander to know if you going to get a problem. It is the stroke of the sander that you really need to know. This is the amount of displacement the sander pad has off center. I have had several sanders. If its crap work that I am doing then I'd grab my Ridgid sander as it is quite aggressive and had a large stroke.
For my finer work i use my Festool sanders. I have a large ES150-5 with a 5 mm stoke that is used to flatten and remove material. I also have an ES125-2 with a 2mm stoke that is purely for finishing. It removed very little material but needs to be moved around with a light touch so not to get burn in swirls.

I use Abranet - Mesh Sanding rather than sand paper. with my Festool it picks up about all of the dust particles and gives a much smoother finish. Again, don't over sand.

Anthem: AVM60, Fosi DAC-Q5
Axiom: ADA1500, LFR1100 Actiive, QS8, EP500, M3, M3comp, M5