I would try and avoid anything too wet on the MDF, to avoid warping issues. TT Combat make some (fairly pricey) rattlecan colour sprays that are designed specifically for MDF terrain, but really any other cheap rattlecans sprays work well. Base coat in one colour of your choice, and then from a high angle with a lighter colour, and when dry give them a gentle drybrush or to two to bring out details and define edges.
For your searchlights, a cheap and easy option is to use snap/pop fasteners for clothing:

Some of these are also quite good for doing valve wheels on pipes etc too:

They are cheap, easy to buy in many sizes from eBay/Amazon/a suitable local haberdashery store, and you can add housings or fittings to them made from junk for use in many different terrain applications.
With terrain, a bit of variation on colour and adding in some nice characterful details here and there to make them look lived-in and "real" are great ways to ensure that it looks good.