Let all images remain exactly where imported- originals and the HDR or PANO in the same folder.
Keyword the HDR/PANO image with "HDR", "PANO" or some such keyword.
Select the Group of images and "Stack" with the HDR or PANO image at the top of the stack.
All images for a HDR-
After stacking- (with a keyword HDR)
All images to group with the pano-
and after stacking- (with a keyword PANO)
"Let all images remain exactly where imported"
I import into a temporary folder until selecting the photos I want and then delete the outtakes.
Your answer doesn't fit how I handle photos and I do not consider your answer satisfactory.
It seems you know better!
Why ask the question?
Keep them in the folder where their component raw files are because they are still raw files and can be used to create jpgs later which can go wherever you put JPGs.
On the file system, I would not do anything special with the HDR source files; just leave them in the "raw" folder where they are.
The HDR-merged file should be placed in the same spot.
Inside LR, I would use keywords to tag the HDR source files.