If you're not concerned about the market, you really should be. There are so few CW jobs available right now that, in my estimation, you're much better off just writing and trying to make a living off it. MFAs are tricky because you can get one at a very prestigious program and still have no novels, NPR interviews, prestige- the kinds of things you need to be hired into such a position.
Most of my CW friends have had the same trajectory, and wanted the same thing you do- a job teaching CW at a university. Most of them did an undergrad. Some of them did an MA. No jobs. MFA. Still no jobs. PhD. Still no jobs. There are also lots of people in more in-demand sub fields that can teach CW without having a specialization. A friend of mine does american lit, but also published a few chapbooks and short stories, so she's going to be able to teach in her primary area, but also pick up poetry or short fiction classes as needed. The market is that bad. In fact, I saw a large number of positions this year that specifically said no CW applications were needed.
If you are absolutely sure about this, skip the MFA. You'll need constant interaction with academic discourse in order to do well on the market, and you won't get that in an MFA. The folks I know with MFAs have had a more difficult time acclimating to PhD work because they didn't get any training with databases or scholarship. With a PhD, you can also get funding and teach, which is a great way to figure out whether or not you want to do this long term without taking on half a mortgage in debt. You'll also see the insides of the system, which is very important if you want to try this.
A good first step would be talking to some of your most trusted professors. They will know you better than we do. They can also help point you in some good directions, like programs to research. Ask them about what makes strong admissions materials for a CW student. Ask them about what they would have done differently. Try and cultivate some good local relationships, and then hash out a plan.
Good luck!