I assume your using posts and want to build it out to look like a square drywall post. You would typically use 2 X 4 to build a frame, then cover with drywall and finish as you would with any drywall.

If the colums are going to be subject to dings and bumps, and will be painted, make them out of clear pine----or poplar. You will need to make the framework with 2x4's as Tom said and apply the wood pieces to that frame. Fill any nail holes, primer, and paint.

Poplar is known as the 'painters wood' as it is easily covered by paint---where pine is less easily covered---the grain often shows through paint.

If you are considering MDF, then I assume the columns will be painted. If I were doing this project I would use MDF with the edges of the sides cut on a 45° miter, then join the sides with biscuits.

I would also build the base out of MDF squares attached to the floor, and route a design on the edge of the base piece(s). Centered on the top of the base would be another square of MDF the size of the inside diameter of the column for the sides to be nailed into.

I would make 3 or 4 squares of the same dimension and space them along the length of the column. The top of the column would be made just as the base with the final nailer at the bottom.

Since you donÂt have to worry about warped or twisted boards with MDF. You could butt joint the sides rather than miter them. However, I would still use biscuits if possible. The downside of this joining method is that the cut ends of the MDF will be exposed, and end cuts will take paint differently than the surface side. By mitering the side pieces, the entire surface of the column will be the surface side of the MDF.

Our older house has half columns between the living and dining room that are made simply from 4x6 wood, with a band of molding around the top and bottom. There is trim around the entire opening that matches the window and doorway trim. The effect is surprisingly elegant. Not sure what the scale of your house is - mine is small, with eight foot ceilings and the half-wall/column is only extends for a couple of feet on either side of the opening, making the opening maybe eight or nine feet total.

Interesting Post. Maybe I'm completely overdoing it but I am using 6X6 Post, faced with some redwood boards that I removed from the walls in this remodel project. I will then use some 1 X material with the edges of the sides cut on a 45° miter to cover the butt joints on the corners of the redwood.
Tried to paste a drawing but no go. Sorry.