First, I personally don't have the Photoshop skills to get the sharpness out of an HDR that I can get using the ND filters. I'm not relying on software to align the images.
No mad Photoshop skillz needed.
Use a tripod (which you should be doing anyway) and don't move the camera between exposures. And adjust the exposure with the shutter speed while leaving the aperture and ISO alone.
Open both images in Photoshop. Press, hold, and keep holding the shift key. Drag the layer icon of the one image onto the window of the other image. Release the shift key. (You were still holding it, right?) The two frames are now laid on top of each other, perfectly aligned.
Click the icon to add a mask to the topmost image. Use the gradient tool on the mask. Experiment at random and you'll very quickly figure it out, but the short version is that where you click and hold is where the foreground color starts, and where you let go is where the background color starts; the transition (gradient) is between those two points. On the mask, black conceals and white reveals.
And there's your graduated ND filter, however hard or soft you want, positioned wherever you want and at whatever angle you want. Don't like where it wound up or how soft / hard it was? Just use the gradient tool to re-do it and you've got a fresh new ND filter.
That's all there is to it.
For bonus points, use a big, soft brush instead of the gradient to paint in or out the top layer.
For super extra bonus points, use more than two exposures and selectively mask in or out bits from each of them...and there's your HDR.
The attached image I did like that some years ago. If I remember right, it's three exposures. Classic 5D with the original TS-E 24, at the bottom of Muir Woods. It's probably time for me to re-visit this one...I can do better today, I think....
Cheers,
b&