Filling, I would suggest it is a good idea. I have used Milliput and ready mixed wood filler, sanded back flat.
It does depend on the supposed material of the wall/roof.
If it is planks, you could add planks made from greyboard or cardboard.
I use Halfords Grey Spray primer to undercoat the whole model (if the material is supposed to be stone or brick I tend to use a textured spray - Plastikote Rust effect or one of the suede or concrete effects before undercoating).

Make sure you spray the inside and underside to seal the MDF - it can act as a sponge when it gets wet, swelling in an alarming manner.
Model railway suppliers can provide embossed plastic card to create walls and roofs.