Paint it. MDF is pretty ugly and paint will both hide it and protect it from the ravages of spills. Watch out for moisture absorbtion through the edges.
To paint it, either use anything, or use the right dedicated MDF primer. The advantage of the real primer is that it doesn't raise fibres in the surface, that would otherwise need sanding down afterwards. You'll need an extra coat on the edges, and I recommend radiusing corners to avoid knocks, but it's easier than plywood.
For workshop jigs, I just wax MDF. Keeps the damp off, but it looks like cardboard.
Dave, I use both MDF and 'Whiteboard' {an MDF-type product with a 'Melamine-like' surface on one side} for Cutting Templates and other uses. In fact, today I'm going to cover a laundry-room table with a 'Whiteboard' surface. Let me tell you how I'll do it, which is about 90% of YOUR project.
First, I have used 1/4inch Hardboard as a 'replaceable' surface for a number of workbenches. The bench in the 'shop' is an old solid door. I simply tack it down and wipe on some clean motor oil. To me it has the look of an aged 'Leathertop' table. I wouldn't necessarily recommend this for a writing desk, because of possible 'transfer' of any oil.
The Laundry Bench - the top & shelf are 3/4 ply. I will lightly sand them, and apply two coats of shellac.{I use the rather new, MinWax de-waxed product - 'Clear Coat' {?}}. It's VERY quick drying, and no adverse burned hydrocarbon smell from the gas dryer. I will do the same to the bottom of the 'Whiteboard' . In this case I want to SEAL both surfaces because I want to put the 'Whiteboard surface' on with double-sided tape.
For the shop Templates, because I need a 'hard' edge & surface for the router bearings my 'final coats' {over the shellac}are of water-based Poly - VERY HARD, stable, sandable. I would recommend a Clear Satin Poly finish. {or Gloss with a VERY FINE sanding, for 'tooth' in straight lines along the long dimension of the desk top}.
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