I am confused now. I haven't done HDR but hope to soon. You said to keep the shutter-speed the same and vary the aperture. Since HDR is primarily used with with landscapes and immovable objects, the shutter speed need not matter. However, changing the Aperture will affect the DOF. Am I miss-reading your comment above. I don't have AV Mode on my Nikon so maybe that's why your apples are my oranges!
You are right to be confused. I wrote it backwards. At least with Canon, if you use Automatic Exposure Bracketing, it's the SHUTTER SPEED that varies, and your aperture stays more or less constant. As you noted, if you vary the aperture, you run the risk of DOF variations.
There's really two parts to creating an HDR image.
1) Take your bracketed shots and combine them in software to create the initial HDR image
2) TONE MAP the resultant image for optimum display on today's hardware.
I'll look at putting a short quick tutorial together that will, of necessity, be rather broad - some cameras can do the in-camera creation of an HDR image with a simple menu setting, others will require quite a bit of manual work. And even after the HDRI has been created, the tone-mapping part is so dependent on software, personal taste, and what you want the final image to look like that it's hard to describe except with one specific tool, such as Photomatix or any of the dozen or so other HDR processing programs out there.