using mdf sheet material to do my 3/4 returns and trim on my vinyl
windows. end product will be painted white

Just wondering if it is necessary to prime and paint all sides before
fitting the returns and trim, or prime only?

Also, what do I fill the nail holes with?

I realize if painted prior to fitting, they'll need hit with another bit
of paint, which brings me to another question.. is it worth using a
small roller to apply the primer & paint or just use a brush?

Thanks again.