A friend of mine has built an NC router with MDF as the frame material. He finished it with some sort of clear coat and said that it was incredibly thirsty stuff - it just kept sucking it up. He will try some parts that I have lofted and I personally would go for epoxy resin and hit it with a heat gun. That makes it get really thin so it can soak it, without watering it down which sometimes affects the properties of the resin. I would do that until it stops soaking in, then it it with a good primer - either an automotive 2 part or one of the polyester ones like Featherfill or Duretec which take a catalyst and cure rock hard so as not to be affected much by heat.

Please keep us posted on how it works out.