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There are many steps to achieve this like preparing your data, configuring filters, parameters, etc. There is a comprehensive tutorial that I will recommend you start with that includes an excellent YouTube video. If you understand the overall process, then you may go back to hector_localization and it will make more sense.

https://github.com/methylDragon/ros-sensor-fusion-tutorial/blob/master/01%20-%20ROS%20and%20Sensor%20Fusion%20Tutorial.md

Also this tutorial will be helpful. It doesn't have specific what you are looking of fusion of IMU and barometric pressure sensors but it shows you how to fuse sensor data:

https://web.fs.uni-lj.si/lampa/rosin/ROS%20Summer%20School/Day%202/sensors/