You can add the HDF file to QGIS via the add Raster layer button, then you will be prompted to choose which bands in the HDF file you want to load.
You can then export these bands to a different format like a tiff file using the options under the Raster menu like translate (Raster > Conversion > Translate).
However there will be the issue of the MODIS sinusoidal projection. I have not found a way to do the reporjection inside of QGIS. So to reproject the images into something that is friendlier to use you will need to use a reprojection tool like you mentioned above. However I think that you need to use the MODIS Swath Reprojection Tool (MSRT) not the MODIS Reprojection Tool (MRT), as the MOD02HKM is a swath product.
With the MSRT you can export selected bands and choose the output projection that you wish to use. If you have used MRT in the past then the MSRT will be very familiar, similar to setup and to use.
Personally the workflow I use is to reproject my MODIS bands in the MSRT, exporting them as a GeoTiff and then use them in QGIS.