Start with a decent quality MDF - Caber or Medite are good makes, also use the MR (moisture resistant) as this has a denser "grain" than standard MDF.
Cut with a table saw or good circular saw with a sharp blade, sand to 180grit and apply a MDF sealer, then sand again to 320. Apply your primer and rub down again, base/under coat rub down again, second base/under & rub down then topcoat.
Jason