Nevinsrip has it 100%.
Use the rough side up. Quite true about anything over a certain size will start to warp. Smaller-sized MDF bases are easier to use because there isn't enough surface area for the material to peform the warp. I agree with nevinsrip about the 12" threshold, that is almost exactly the cutoff point I experience with the size base where it will start to warp.
I use different tricks to prevent warping. One is to glue a resin building or terrain feature to it and make the MDF base very close in shape to mimic it so that the terrain feature above "forces the MDF to stay straight." That works really well with resin buildings. Obviously a resin building is too strong to bend so if you glue it to an MDF base the MDF simply can't warp because as I said the building on top of it keeps it flat.
Another thing you can do is during the initial glue-phase where you're gluing say insulation foam rocks and gravel to MDF, you can put some heavy books on at least two sides of the MDF base, or more ideally on all four sides. That way when the glue is drying it will be forced to dry flat.
I used that technique for MDF forest bases where the MDF pieces were like 3" wide by 8" to 10" long. Any time you're using a much longer than wide piece it will tend to warp up at the short edges.
I don't actually treat my MDF with anything beforehand. I rely on using the weights like I said to keep it flattened down while the glue is drying. Once you have a flat, dry piece with the terrain feature glued to it and the base texturing glued to it, you are free to paint the sand or whatever you coat the base with without concern of warping.