To work with Sintra, you mostly just need a sharp utility knife and a heat source like a clean oven or heat gun if you wish to bend it. Heat-proof gloves and a large bowl or bucket of cool water at the ready are also wise. It's good to scuff the surface with a Scotchbrite pad before applying primer. 0000 Steel wool also works, but the steel fibers get all over the place.
MDF is "Medium Density Fiberboard". Imagine grinding up a bunch of brown paper bags into pulp and using heat, pressure, and a bit of resin to turn it back into something not unlike wood. It is dirt cheap, fairly lightweight compared to most wood, and since it has no grain, it is pretty easy to work with. The cut edges come out a little fuzzy, so it's good to apply a few layers of shellac or sanding sealer on them, followed by a little sanding. After that you can prime the whole thing.