I confirm the need for pilot holes.
Depending on the grade of MDF, you may need special glue. Some mdf requires waterproof glue.
My first instinct is to agree with the vertical modules. The shear strength and self weight of the MDF make me wonder though. I'd hate to try and carry a full-height cabinet, both due to the weight and the potential for material failure. I'd be tempted to make three vertical sections fireplace height and one horizontal cd storage area.
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