I've just started my first MDF buildings, and I'm very happy with the progress so far. No warping after spraying.
I started with grey primer too. Shaded all the recesses with brown/black wash, and drybrushed up all the areas I planned to leave grey with various colours for weathering. Then I gave all the brickwork a generous drybrush of Terracotta acrylic, followed by very light drybrushes in patches of black, tan, and blue/grey. finally, use glaze medium and a mix of pale grey/bone to wash between the bricks - you should have some primer showing through, so this just resets the mortar colour. I'm almost done with my first one, so I'll try to get some pictures up when they're finished.