Yep, those are very classy fasteners, and they work well. They're spendy, though.
Wood screws are not good for MDF; they're tapered, so, ideally, you'd have to drill a tapered hole for them.
MDF -- medium density fiberboard -- may also be called particleboard, or may be called MCP -- melamine component panel -- when it has a thin melamine plastic sheet adhered to one or both sides.
The trick to building with it is to drill the right size hole for the fastener. Drilling too small a hole -- or not drilling at all -- can result in split boards. You want a hole very slightly larger than the shank of the fastener, so the only spreading of the wood is done by the threads. Where there is an unthreaded portion -- such as the part of the fastener under the head in the screws linked above -- that part of the hole has to be very slightly larger than the unthreaded portion of the fastener.
The advantage to using the drill provided with the fasteners in the links is that you always get the proper depth, diameter, and countersink. That means three separate parts of the hole -- threaded area, unthreaded area, and countersink -- are drilled in a single operation. You could do the three parts of the hole separately. But the better bet is to buy similar all-in-one bits in kit form at Home Depot or Lowe's or your hardware store, or online from Harbor Freight and others. I bought several sizes, for a few dollars apiece, in a Ryobi Kit at Home Depot, and have seen a DeWalt kit at Lowe's, and a Black & Decker kit in hardware stores.
Coarse drywall screws are a good low-cost alternative to those "fancy fasteners". You still have to drill the right size hole for them, but only one size bit may be necessary. The unthreaded portion of the drywall screws is the same diameter as the shank, so the special bits are unnecessary for that part of the hole. You can sometimes skip the countersinking, because the head tends to pull in nicely (depending on the density of the material). Still, it's best to experiment on scrap before tightening one so far you snap it off in your project. I've done that, trying to get the head flush with the surface. In cases where that's likely, I countersink the hole.
If you countersink in particleboard, you can use a standard drill the same diameter as the head width, but be careful -- if you countersink a hole you've already drilled, the wood tends to pull the bit in unless your drill is going at very slow speeds, and you can wind up with too much countersink depth. Practice on scrap. It's best to drill the countersink first, then the main hole, so the wood won't grab the bit so much.
Add a good glue -- I like urethanes, like those from Gorilla or Borden (Elmer's) -- and you can have joints so strong that the joint will hold when the wood around it breaks.
If you have experience with MDF/particleboard/MCP, you probably know that it can't be used in damp areas without sealing, because it sucks up water -- or just heavy atmospheric moisture -- like a sponge. If you build with it, keep it dry or seal it.