You can use a clear finish lacquer if you were to do it in pine or you can choose a color of your choice if you do it in MDF. If you do it in MDF, use the appropriate sealer. This is specially important on the ends of MDF as its very porous. But Lacquer can only be sprayed, so unless you have spraying equipment, you might have to resort to spray cans or use a brush on polyu type finish.
Im only just starting to use lacquer as I found that Polyu takes to long to finish. I got pretty much all the information from my local paint tradeshop. Im no expert, just passing on the information I learnt from the dealer. I use Mirotone products, this is a link to the aus website. Theres several dealers in NSW, would best to contact them if you decide the lacquer route.
http://www.mirotone.com/Australia-Home/default.aspx