It depends on how much you want to deposit the MgO. There are many parameter you should consider before deciding the method. To name a few like thickness, composition, on which application and type of material. But here to answer your question, I like to suggest that you may try a dip coating or plasma spray method. Both method is good for parameter control. Otherwise you may searching about the method for coating/depositing materials onto surface. There are a lot of method out there but you have to list down which parameter affect the most for your materials modification. Only then you can decide which method is suitable.

Thank You Afida. Can you suggest, which parameter set will help me for MgO deposition on same substrate. Basically i want as possible as a lower surface roughness.  

You can use Plasma spry coating.