Hi rstermer
I would suggest MDF if you are goinf to paint it.. MDF comes out clean and takes paint well.
I use a sanding mop when I use MDF it will take the fuzz off quick and give it a nice clean look...
http://www.stockroomsupply.com/The_Sanding_Mop.php
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MDF stock is hard on bits, I would suggest you have a extra one on hand just it case.
You can run it by the bit in two passes that will help keep the wear down on the bit plus give you a nice clean looking molding...
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