I tried to do HDR with the full moon but found that the shot needed to expose the background correctly led to a moon that "bled" i.e. was larger than the shot of the moon correctly exposed. I am using LR Enfuse in Lightroom to blend images. Any tips? I don't know Photoshop but perhaps that's what I need for this type of photo.
hmmmmm.....May I ask why you want/need to do HDR on the moon - as it's a very, very LOW dynamic range subject. I can't think of any instance where any camera's dynamic range is exceeded with the exposure range from the moon?
Don't forget that the moon travels quite quickly so it is likely that the time to take your exposures will result in a blur to the moon. You might try removing the sky from your hdr image and replacing it with a non-hdr image. You will have to figure that out for yourself.