The biggest problem you are going to have is dynamic range and whether your camera has the capability to get a reasonably full dynamic range in one shot. You can of course take more than one shot and blend them to get HDR, but you do have to be careful as you can end up with unwanted artefacts.
What are you trying to achieve in your sunset photography?
Are you trying to get everything well exposed or are you looking to shoot for silhouettes?
What camera are you shooting with and what lenses do you have?
Do you have the budget for some filters and adaptor rings to put in front of your lens? I use Lee filters which are pricey, but the Cokin type are pretty good and much cheaper.
The best route to get realistic sunset (and sunrise) shots is to use graduated neutral density filters. You will have less need for HDR effects then as you should be able to get closer to getting the full dynamic range.