I'm a little late and this may all be useless, but here goes anyway....
Just a couple thoughts and ideas that I've learned recently.
I've done a little baffle building recently using a two part resin intended for use with fiberglass cloth (although I'm not using the cloth). Despite the resin being VERY thick, it will soak into the edges of MDF. I've found it takes four to six coats of resin for it to stop soaking in. of course, sanding with either a belt sander or palm sander in between each layer.
An auto parts store will have Bondo brand body filler (two part epoxy). This works great for filling larger defects. Between 10 and 30 minutes (humidity dependent) it's ready to sand. A one gallon can is about $25.
For the smaller defects and scratches I use a tube of "Glazing and Spot Putty". It comes out of a tube just like toothpaste, very easy to use/apply and very easy to sand. A tube cost less than $10, very worthwhile investment and much easier to use for smaller defects than the two part body filler.
If you're using a sprayer, you'll need to buy an in-line air pressure regulator. You'd also be wise to get an inline dryer so you're not mixing atomized water in with your paint. And be sure to drain the water from the compressor before you spray.
I've heard of guys hanging sheets of plastic drop cloth from their garage ceiling in effect building a "paint booth". This will help keep bugs and dust from getting on the project. Also help to keep the overspray from getting all over things.
Before each application of primer/shellac/paint, I wipe down the entire project with a clean dry microfiber cloth. Wallyworld sells them in the automotive department in a 10 pack for something like $5. I mention this, because if you buy the ones from the housewares department they're much more expensive. It's amazing how well dust sticks to these.
Good idea about mixing wood glue with water as a coating. That's a new one on me. What ratio do you guys use?
Hope that helps Kris
Bob