Agree that you aren't missing anything. HDR can be useful but most often it's just ugly.
However the K-x
can do 3 shot HDR with no trouble at all if you want to do that. And you can use the wireless remote control to do so. Page 191 of the K-x manual explains how.
Quote: HDR CAPTURE
Enables capturing images at high dynamic range. Takes three frames
(underexposed, standard (proper exposure) and overexposed) to create a
single composite image with them.
1. Press the INFO button in the status screen. The control panel appears.
Press the INFO button when the status screen is not displayed.
2. Use the four-way controller to select [HDR Capture] and press the OK button.
The [HDR Capture] screen appears.
3. Use the four-way controller to select [Off], [Standard] or [Strong].
4. Press the OK button. The camera returns to the control panel.
Notes:
Quote: - When HDR Capture is set, the file format is always set to [JPEG] and cannot
be changed. You cannot use HDR Capture when the file format is set to
[RAW].
- When HDR Capture is set, Multi-exposure is not available. Also, the drive
modes other than (Single Frame Shooting) and (Remote Control) are
not available.
The only external software I've had any experience with doing HDR-ish stuff is the RAW convertor and image processor DxO Optics Pro, which has the ability to render HDR-ish images using just a single shot, and therefore spares you all the futzing around with taking multiple shots, combining them, aligning them etc. Sometimes I've found it useful to add punch to a landscape or something.