The mdf skirting is moisture resistant. less wasteful and comes ready primed.
with labour costs factored in, not so expensive and less surprises as with natural wood regarding warping and defects.
Priming prior to fixing will always be a good idea, drill, screw and plug into position
I use Spax screws mostly as they seem to suit my hammer/driver
I also use a set of Disston screw sinks and plug cutters
The screw sink's pre drill, counter sink and form the plug hole for the screw.
By matching the grain on an offcut of similar wood cut a plug ad glue into place.
sometimes, by choosing the grain the plug is hardly noticable ( and free)!
Regards Rodders