Exposure blending panoramas is very similar to 'normal' panoramas, you add control points and align all the images together. The difference is that there are more output processing options in the Stitcher tab:
Exposure fused from stacks. Use this if your camera has a bracketing mode, i.e my camera can shoot three photos in sequence automatically (-2, 0, +2 Ev), then I rotate the camera to the next position and it shoots the same sequence again, etc.. Hugin will fuse each stack together, then blend the stacks into a panorama.
Exposure fused from any arrangement. Use this if you shoot two or more panoramas, each at a different exposure, but the individual photo positions are not likely to line-up i.e hand-held, or on a tripod-head that doesn't have fixed angle stops. Hugin will stitch each panorama, then blend them together.
Note that Hugin is clever enough that if you do shoot using the second technique, but with a reproducible pattern, you can stitch 'exposure fused from stacks' anyway.
The other output option is 'High dynamic range'. This does the same thing, but the output is a HDR floating-point image. Use this for a rendering light probe or other specialist purposes.
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Bruno