There is a thread about this I think in the Fabrication forum. Anyway, the ones with the prongs on them (t-nuts) I find are better with softer woods like plywood. Inserts can work okay with MDF but I find that you have to CA-glue them in to make them really hold. Don't rely on the threading them in and figure the teeth on the threads will hold them, especially if you crank down the bolts. I use a unibit to create a pilot hole first because it makes a tapered hole similar in shape to the insert. Then I put some CA glue around the threads and use an allen-head bit on a screwdriver to put them into the MDF. After it's in, run a bolt through it back and forth a couple times to make sure any glue that might have squeezed out when the insert was going in, doesn't sit inside the insert which would gum up the bolt threads. It sounds like work but you do it once or twice and it's pretty quick. Having done it this way with the CA glue, I think only once I've had one pull out. I wouldn't recommend using inserts at all though for pieces that don't mate up well already. If you want to pull pieces together, use screws.