Purchase a primer if you're not using an oil-based finish, and/or a finish in the color your desire. Oil-based finishes are self-priming, so you won't need a primer at all in that case.
Sand the plywood lightly and dust off scraps with a rag before you start painting.
Roll on the primer (or oil-based finish) as smoothly as possible and allow it to completely dry before applying another layer of your finish coat.
Roll on one coat of your finish and allow it to completely dry. Using a touch-sand method, sand the wood down with 220 sandpaper.
Apply another layer of finish to the wood using the roller and allow it to completely dry.
Apply two coats of clear sealer, waiting in between for each layer to dry if you desire a more natural look. If you want to disguise the grain a bit, mix together a stain darker than the color of the wood with the clear sealer and apply one to two layers. Regardless, always have the last coat be with a clear sealer.