I want the finished look to be like a grid pattern just on the wall my bed is on. The part that confuses me is how to attach the molding to the wall? Do I need to install MDF or something similar before laying out my grid pattern?
You shouldn't have to install MDF in order to do that unless maybe your wall was not flat. And yes, it should look good with a vaulted ceiling. You'll also want to make sure that your trim boards aren't bowed. Most likely, all you'll really need to do is nail where the studs are on your wall.
Apr 14, 2017