Hi Ben,
yes that is the best solution right now. Alas you have to build it yourself. There is no distributed binary with EXR support.
Also Hugin beta-5 is expected soon and may well have Nona using HDRI also but no guarantees.
I am trying to get people on these two lists to produce an OpenEXR version when they do their next build but I am a lone voice...
If we had an Imagemagick build with EXR support then tiling in HDRI would be easy, using my published script.
If we had Nona with EXR support then Panoramas in HDRI would be simple too.
At the moment Nona will do Tiff (float) for HDRI but conversion is not automatic due to missing Imagemagick EXR build.
And alas - i don't have VS2005 to build it