You might find you have to slow the CNC down to a snails pace. The MDF from B&Q and the likes is the lowest grade. Go to Wickes or Jewson and get the moisture resistant type. This is about the best you can get easily. If you have a good wood merchant they should be able to get you deep router grade which makes B&Q MDF look like toilet paper. It will be double the price though, but the reduction in messing about with sorting the edges can make it good value.