Justin, Lowes or Home Depot carry MDF. Lots of other places too. Shouldn't be too hard to find.
As to tapping it, use coars threads, then before you install the bolt, coat the threads with thin super glue. This will soak into the pores and make MDF viable for its use. After the glue dries, run the tap in again to clean up the threads and then you are ready for the bolt. For some parts (end caps that hold the rods) T-Nuts can be useful as an alternative. I think you'll do just fine, you are asking all the right questions.
Rance