It's hard to say what you should do without knowing what your data look like.
Assuming your data has dates and times in it, the R4DS section on working with dates and times should help:
There are several tutorials that should help you get started with HMMs in R:
http://blog.revolutionanalytics.com/2014/03/r-and-hidden-markov-models.html
Hidden Markov Models by Nursultan Svankulov &Eric Friedlander, STOR @ UNC-CH*
Inovance - A Tutorial in R on Using A Hidden Markov Model (HMM)
The vignette for the depmixS4 package might also be helpful https://CRAN.R-project.org/package=depmixS4