MDF has all the surface performance of blotting paper, so once it's machined it will need to be thoroughly sealed. If you use MR-MDF or "deep rout" MDF the surface finish will be a bit better because these are denser materials. You can get acrylic MDF sealant from most paint manufacturers (e.g. Johnstones, ICI Dulux, etc). Just note that it will need to be sealed and sanded 4 to 6 times before painting. One trick when sanding is to glue a piece of P60 or P80 grit sanding paper onto a scrap off cut of fluted material then shape several sanding blocks by using this "shaper block" to sand profiles onto the dense poly insulating foam used by builders (at a pinch you might be lucky to find some packaging material which will fit the bill). Once is sealed it can be given a couple of coats of a high build undercoat and sanded smooth. As long as the sealer, undercoat and top coats are compatible then it doesn't really matter what they are, I'd say - and if they're not a coat of thinned shellac (dewaxed blonde polish) will generally provide an effective barrier layer between incompatible materials
How you get the shape depends on what sort of kit you've got. I know someone who makes this sort of stuff commercially and he starts by coopering a cylinder together, then turning to a parallel or taper on a very big lathe (20 ft bed). The flutes are then machined using a router with a dish cutting (large coving) bit. Each flute is cut then the entire colum rotated the appropriate amount using an indexing plate. I've seen a similar (if smaller) jig not requiring a lathe at all in one of Bill Hylton's books some years back. I'll see if I've still got the book.
As for proportion, have you tried looking on Wikipedia for Doric, Ionic or Corinthiam Orders (the main Greek classical orders) as there's some useful stuff over there to start you off. It might be an idea to try drawing-out your cross cestion on paper or in a CAD program to judge the effect in cross section.
Scrit