If you are like me and really getting into trying new things with HDR, then you have

probably gone out and spent good money on Nik Software's HDR Efex Pro or Photomatix Pro.  And you may use Lightroom and work with Collections as a way to subdivide and work with your potentially mammoth photo libraries.  But you've probably also then encountered the "where the hell did it go?" question when you save and exit back to Lightroom from your HDR tool.

Yeah, happens to me too.  I tend to create collections right after an import event so as to find things more easily.  Unfortunately, when you Edit | Export with Preset (as you do for HDR with multiple source images) the created HDR does not come back into the Collection where you started.  The trick is within the Library module to go back to the Folder where the originals live.  That's where the new HDRs got dropped.  Now if you only work from Folders, you won't have run into this issue, but if you use Collections, you likely will.  Once you find the new HDRs in the folders, simply drag them onto the Collection you wanted them to be in in the first place and away you go.  Extra work and goofy in my opinion but now solved until Adobe changes the behaviour of Export with Preset.