What would be the best option to share materials between different scenes?

In Softimage you can export a shader compound for someone else working in a different scene.

The quickest way I found was to merge the scene into another scene and then delete all the geometry. This leaves the shaders behind, but it seems to be a dirty way of doing it.

Is HDA's the way to go with shaders as well?

Assets, or you could also try saving the material to a shared gallery by right-clicking on the material's node in SHOP network. That little pane on the left of the material palette lists found gallery contents. Although, I'm not sure if gallery items support versioning…

HDAs are the way to go.
portable, you can version them - manually etc

Thanks, I will try both options.

You can also just open up one scene, select the material nodes, CTRL-C (CMD-C) to copy them to the clipboard then open up the destination scene and paste them into a SHOP network.

Is it better to create an HDA for each material or one big HDA for all custom materials?