How do I fix aluminium edging onto an MDF board?
Drilling holes should help keep the MDF from splitting, take care to keep the holes as far from edges as you can and as straight as possible. Use short screws unless the aluminum edge will need to support the weight of your board (i.e. hanging on the wall by the top frame).
If you don't want visible screw heads you can alternatively use a strong adhesive such as epoxy.