To cover the drilled holes on mdf?

Regular body filler ("bondo") and a brush of Polyester on top, it will soak in a little.
They often use a mix of body filler and polyester for car audio stuff, it won't crack, even though I would use some fibers for larger pieces.
 
MDF is the devil... I use expensive shellac based primer on it, because it soaks into the wood well. Water based finishes I find cause a lot of swelling. I've seen folks recommend making the transition less abrupt, and figure a bit of a chamfer on the hole would allow your filler to "feather out" some, and maybe be less dramatic of a shrink if it does happen. I think someone on TechTalk calls it the "trench seam" method.

To this day, over time, I've found a few of my past projects telegraphed through the finish. The best practice for me is it try to work around it, or make any design such that the holes are as discreet as possible.