MDF will come to piece very quickly if it has to bear the weight of a pickup - it has very little cohesive strength, especially in thin sections. Stick with solid wood, or veneer a strong wood like maple, cherry or teak.
I made these rings out of wenge, with a cap of wenge veneer on top, so that I could get quartersawn grain on all the long grain faces (the flatsawn grain was too bust for such small pieces). Wenge is pretty damn splitty stuff, you just need to go slow and careful, plus having access to a milling machine helps!
Jon - I made some ebony rings lately, and I'd not do it again - if they're made geometrically perfect so that they don't look sloppy, it's damn hard to tell they're not plastic! I might just try knocking back the shine on some plastic rings with fine steel wool, and using those.