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Go to EFMax, Co, then use your Browser's FIND/SEARCH feature (in the Tool Bar), and search for the word: drill Then, scroll up a few lines, and start reading. It will tell you how to drill Pilot Holes for MDF board.
Don't forget to go at least 1mm DEEPER/LONGER than the length of the screw. Otherwise, you may split what's underneath.
At worst, maybe your screws are too long? I haven't any idea what you're building.
My best to ya and hope this helps.
Jay J -Moderator