Exactly. Technically, all electrical work should be done by a licenced electrician. In certain situations, it would even require a building permit if the resulting changes would deviate greatly from the plans of when the house was built (talking about MAJOR changes here.) It is a risky world out there when you start looking at the legal issues surrounding this hobby. However, you can isolate all of it from the codes by just putting it on a piece of plywood. Even if you decide to attach it to the wall, at that point it basically just becomes a very fancy picture.
well MDF is compressed sawdust and almost has no strength (for what i use it for) i would recommend plywood with an MDF outer layer on it drill pilot holes if needed.