The melting point of perspex / plexiglass is about 200C, so I would set it at 450C and hold the gun about 6 inches away, applying gradual heat, slowly closing the distance until you get the result you need without burning the material.
MDF is a nice solid material. However, it will wear out the blades on your saw. I know this very well, having just recently made an 8' by 4' gaming table for Warhammer Miniature Battlegames. I just need to face the table with some sort of nice wood, and it will look somewhat nice.