Some developers especially beginners, might find it problematic to understand what does exactly HUD mean - (heads-up display) is the method by which information is visually relayed to the player as part of a game's user interface. So as you can understand it might be for example score text, player's health, controller or different buttons. They will simply 'chase' your camera movement.
HUD is a subclass of the Scene class, there are no differences while attaching your entities there, so here's a simple example how to create and use it:
HUD hud = new HUD(); hud.attachChild(yourEntity); camera.setHUD(hud);
That's basically all, as you noticed in example above, you have to 'stick' your HUD to your Camera, people usually use HUD as a child scene, which will work, but is NOT correct.