For a game as big as GT4, a new hack or patch will be available soon to let you play it off the HDD. From the last time I checked, the only way it works is that you keep the original game disk in the drive before you launch GT4 from the HDD. It will load the game from the HDD and access it from the HDD but will check the dvd drive for the copy protection stuff.
Defeats the purpose of getting HD loader to work unless your only need for it was to reduce load times.
Edit: To get it installed on the HDD in the first place, you need to rip it to your PC first, then transfer it to your PS2 HDD using one of the other utils out there.