For my sins i spend the majority of my waking day painting MDF cabinets.
It sounds as though you are not painting the whole panel in one hit- ie rolling first and then brushing the perimeter.
Ideally you should roll and brush simultaneously.
If you are concerned that you are ending up with a combination of tramlines (brush strokes) and roller "orange peel" then you could lightly drag the brush over the rolled area so that you end up with a uniform finish.
Add Owatrol to the paint (if oil based) and you will find that the tramlines are minimised.
When painting "boxes" I start on the right hand vertical, brushing up and down- I use Anza paint pads and Wooster brushes.
I then paint the top, going from left to right, followed by the back (again up and down), then the left and finally the bottom (going left to right).
I do the top second to reduce the risk of the paint sliding down where it meets the verticals. The bottom is left till last because of paint splatter.
A quality brush and Owatrol will make life a lot easier. The best brushes that I have found are Wooster synthetics, Purdys are ok, you will need to go to a real decorator's merchants to find them though. I have never seen a good quality brush in a DIY store (ever). The brushes will cost more but todate I have never had a hair fall out of a Wooster. If you look after them they will last years. You might also want to invest in a Brush Mate if like me you are too lazy to clean them.
http://www.woosterbrusheurope.com/videoa.html
http://www.decorating-supplies.co.uk/epages/BT2701.sf/en_GB/?ObjectPath=/Shops/BT2701/Products/BM4
http://www.owatrol.uk.com/docs/Owatrol Oil.pdf
