I'm working on my first worbla build, and I've been following Kamui Cosplay/Svetlana's advice: Smoothing the surface with a few layers (4 - 5) of wood glue. According to reports, the wood glue takes fewer layers and offers similar results to gesso. I've been fairly happy with my results so far, though I have sanded a few places, where gravity has not been my friend. I should be applying the first layer of paint this week.
You *can* apply acrylics (or Krylon for plastics) directly to the worbla without smoothing (I did on my samples), but it really depends on what you want your finished result to look like.
I used this video as an example. They're smooth-coating kobracast, but the effect is similar:
Ge[Bastelt] - Wood Glue Finish
The actual work starts around the 5 minute mark. (Make sure you turn on captioning, where they have put the English subtitles!)
They also did a quick show of working with worbla, wherein they sanded it directly, then smoothed the "fuzz" (caused by the plastic) by reheating the piece slightly after sanding:
Ge[Bastelt] - Worbla's Finest Art
Kamui/Svetlana posted a comparison between gesso and wood glue back in June, which you can find
here.
Hope this helps!