Yes, some time ago i even bought a large piece of MDF to possibly make some wheels out of somewhere in the future.
But at this moment i have some doubts if this material is a truly safe option for that purpose, as i'm not sure if the MDF material will be able to hold up to the centrifugal forces generated by the benchgrinder.
The last thing i want is that MDF pieces would come flying at me at high speeds in the event that such a wheel disintegrates while spinning at between 1400-1700 rpm, especially since there are no steel guards on the machine (like there would be when using the original stone wheels)
There are however people who use home made MDF Wheels for sharpening knives:
A small container filled with SiC particles comes with each set of Paper Wheels, and it's enough to re-coat the sharpening Wheel several times.