When capturing HDR images, it is imperative to shoot in bracketing mode as this will make the blending and editing processes much easier. Most cameras have this setting and allow users to choose how many steps in exposure between each image and the amount of images taken in each bracket.

In this example, I chose to use a 5 image bracket with a 0.5ev. Each image was taken with a 10 second exposure.

It's also important to note that I used a ND filter to capture this as the light is constantly changing during sunrises/sunsets. In this example, I used a ND64 filter.

Part 2:

In Lightroom Classic, select and right click on the group of images to be merged and hover over photo merge. 

There should be the option to create a HDR image from the selected group. You can also choose to have the image automatically aligned and edited or you can go through each process manually. If ghosting is present in any of the images it can be removed using the deghosting options. 

The process is identical in Lightroom CC.

Here is the HDR image that is created after a successful merge. As you can see, the exposure is balanced throughout.

Here is the final edited image. I have included the source RAW files and a preset to those who are subscribed for practice. Good luck!