If it were not possible to apply sharpening to RAW files then the entire concept of 'capture sharpening' would be useless.
If you want to make adjustments to the files before sending to the HDR app, then you can adjust the RAW files and export as TIFFs to the HDR software. If you're using Lightroom and using the Photomatix export, the files are converted to TIFFs as a part of the export process and any adjustments you've made to the RAW file in LR will be applied.
Given the detail enhancing properties of HDR software I, personally, wouldn't apply capture sharpening. You could end up with a pretty 'crunchy' looking result. The better way, in my view, to approach it is to think of the HDR as a new RAW file. Most HDR software apps have a Detail or similar type adjustment that acts to enhance detail (sharpening). Some, like Photomatix, have a Sharpening utility included. These are typically quite crude and rough so really shouldn't be used.
The best approach, I believe, is to get the tonemapping where you want it then apply sharpening as a two-step process (creative and output) rather than the current three-step trend. Alternatively, if you throttle back a bit on the detail enhancing/microcontrast features in the tonemapping, you can apply capture sharpening to the tonemapped TIFF file and retain the three-step process.