I applied online for my CPF. (No payment necessary)
Immediately received a protocol for my CPF.
Had a digital copy on my phone (not a printed copy).
Went to the nearest Receita Federal office (no appointment)
Took my passport, RNM card and proof of address (my wife's bank statement)
Catch 22 - they wanted a phone number which of course is hard to get without a CPF number (used my wife's phone number).
Walked out of the office with my protocol and an additional receipt document.
Within 48 hours my wife got a WhatsApp message from RF with my CPF number.