I've been using the Enfuse Preset in LR for some time and like it a lot. It won't save a layered file for you though.
Photomatix have also now come up with a LR Preset that allows you to use LR to convert the files and open them in PM.
Downside is that you need PM to merge them.
Upside is that in PM you can then chose either Tone Compression (similar to Enfuse) or Tone Mapping to merge them.
Another upside for PM over Enfuse is that Enfuse will not see any edits you make in LR, so for example WB or CA changes are ignored.
The other upside (for me) is that as of version 3.1.2 HDRSoft seem finally to have figured out the memory problem that I've almost always had while trying to process 1ds2 or 1ds3 files. This was a real frustration, I usually had to resort to 8 bit files and a small colour space, but I did a lot of merges over the weekend and never had a memory issue with 16 bit files, ProPhoto colour space and both 1ds2 and 1ds3 files (XP Pro, Core 2 due @ 2.67GHz, 4gb with /3gb switch)
