Drywall is a better material than MDF (medium density fiberboard) for walls because its joints are less likely to crack. Wet sanding will avoid dust.
Choose drywall and try wet sanding to reduce the dust
How to Wet Sand Drywall in 5 Easy Steps
Why You Should Wet Sand Your Drywall, 60% OFF
How to Wet-Sand Drywall to Avoid Dust
VEVOR Drywall Sander 900W Brush Motor 800-1800RPM Variable Speed
Bench Grinding Stone Wheel 150 X 20mm 32 13mm Bore Grade, 60% OFF
Wet Sanding Drywall: 9 Dos and Don'ts for the DIY Project - Bob Vila
Wet Sanding Sponge (Drywall)
Family Handyman - DIY Tip of the Day: Wet Sanding Drywall. Repair
Saint-Gobain ADFORS Drywall Sponge Sanding Sponge 1.63-in x 4.5-in
Saint-Gobain ADFORS FibaTape 2-in-1 Drywall Sanding Sponge, 60% OFF
Saint-Gobain ADFORS FibaTape 2-in-1 Drywall Sanding Sponge, 60% OFF