I started there, and it was invaluable to master the basics. Then learn by doing / searching for how to do something specific
Good point: either that if you aim for an angled edge (and it introduces a tool change) or, and this is probably easier for a one-off with rounded look everywhere, just sand off the sharp edges manually, easy enough.
You could do it all with a downcut as @fenrus said. I like to use upcuts for roughing just because I can push them harder/deeper, but that is debatable.
Disclaimer: I hate MDF with a passion.
Messy, definitely, and don’t breath it, it’s nasty and dangerous. But a good dust collection should take care of that. Its only quality is that it’s cheap
Plywood is…special, I would recommend doing prototypes in some kind of tight-grain hardwood.