Medium Density Fibreboard is basically "dust glued together and baked in an oven." Sounds simplistic, but the truth. Screwing into MDF (and drywall is similar) requires a very careful touch.
<<WARNING: SCIENCE CONTENT!>>

Drill pilot holes between 85 % and 90 % of the root diameter of the screw used and at least as deep as the screw. Untapered sheet metal screws with constant size shank are good, as are some untapered wood screws. Pilot hole sizes and minimum edge distances for common screw sizes are :
#6 screw - 3/32 inch pilot - 1/2 inch edge distance
#8 screw - 7/64 inch pilot - 5/8 inch edge distance
#10 screw - 1/8 inch pilot - 1 inch edge distance
Due to the relatively "extreme forces" applied when loading/moving your cab, (unloading from your car, negotiating stairs etc.)those castors will get bumped, jolted, and the like. MDF does not like screws. Be careful not to over-tighten any screws, because the material "strips" very easily.

It's best to use a cordless drill with a clutch setting of about 5-6.
If you want more info, PM me. Hope that helps
PS Why build cabs out of heavy MDF? It doesn't warp like wood, depending on how you joint your corners - pretty solid, and be made completely airtight. These are all qualities you want when designing a good speaker enclosure.