I just got a nice new example project from Christophe De Vocht. It shows how to open a HUD window in Cocoa and adds controls inside. The controls provided are PopupMenu, Checkbox, Slider and Button.
This project requires Mac OS X 10.6 or newer.
Please try it. We'll include it in the next prerelease, but you can download a copy here: hudobjects.dmg
Thanks to Christophe De Vocht.