Hi Arnaud,
I've been using a great java script written by David Stube that
converts HDF4 formats to netCDF which can then be easily read by
the standard R packages.
He recently made this software (modis_hdf2nc.jar) available for download at:
http://asascience.com/software/downloads/
Though the file name suggests it's for MODIS data, it has worked
seamlessly for me with a variety of file sources.
Easiest way to batch process files with this is to put a copy of the
file in the working directory and call the it from R like:
system(paste("java -jar hdf2nc.jar ", FILENAME, sep=""))
Hope this helps.
Burton Shank