My HDR experience is limited but I wouldn't think adjusting the aperture would be the best way to go about it because the change in depth of field could significantly alter the appearance of the scene. I would use a method that allows for a constant aperture--either manual and adjust the shutter speed or aperture priority and adjust exposure compensation. Of course, I've only tried it with a single raw file and 3 different exposure settings, so I may be off base.
Your not off... that's probably the biggest problem I can see with what he is doing. When you combine photos they all need to be focused the same... changing the aperture to change the exposure is like trying to combine photos that were all done with slightly different focus settings... not good... pretty much negates the fact that he used a tripod since he's introducing blur in the pictures that varies from one to the other.
I think the best way is to set it on complete manual and only change the shutter speed... nothing else.