My workflow for this with PTGui Pro is as follows.
- Add all the images to the project and let it find control points. It will detect the bracketed exposures and prompt you to 'link' them. I prefer Exposure Fusion to HDR, as I think it tends to look more natural.
- On the Exposure/HDR tab, configure the settings for Exposure Fusion.
- In the output options, check both of the following options: "Blend Planes" and "Exposure fused panorama".
When you do this, PTGui will stitch all three brackets using the same control points, so that everything aligns properly. It will output four files: the final blended version, plus stitched versions for each individual exposure. This way, I have four files to work with for my final exposure blending. Sometimes I can just used the "fused" panorama, sometimes I'll also use the blend planes as layers in Photoshop. Or, if you wanted you could run the blend planes through Photomatix for final tonemapping (you may have to use the batch mode to avoid memory problems depending on your filesizes, though).
To me stitching first and then blending/tone-mapping is preferable. I know some people get good results doing it the other way around. The issue I see is that the Details Enhancer tone-mapping in Photomatix is content-based; you could run all your images through with the same settings and end up with uneven results that PTGui will then have to try to blend.