I did test out running Convert to DNG using Lossy Compression, but it actually created larger files.
Assuming you're happy with the process, you could always render the files and get rid of the HDR work fiile. If you have the Raw files, it can be recreated and the settings could be saved as a Preset if space is really that much of an issue.
Sean McCormack. Author. Magazine Writer. Former Official Fuji X-Photographer.