Use this script in "P"-Mode. It will take n pictures at -2,-1,0,+1,+2. Kinda slow but it works for me.
I use the CHDK build from here

@title HDR
@param a Number of shots per step
@default a 2
let i = 1
print "Preparing"
click "expo_corr"
for n = 1 to 12
wheel_left
sleep 100
next n
for m = 1 to 5
for n = 1 to a
print "Shoot", i, "of", a*5
shoot
i = i + 1
next n
for n = 1 to 3
wheel_right
sleep 100
next n
next m
print "Resetting"
for n = 1 to 6
wheel_left
sleep 100
next n
end