How to retrieve full gene names list and Entrez gene IDs and other annotation information from HUGO gene name list (in R or any)?
I would recommend just downloading the database, which HUGO allows you to do free of charge.

The HUGO website has a "downloads" tab at the top that takes you to the following page

http://www.genenames.org/cgi-bin/statistics

You will see a table of statistics relating to how many protein- or non-protein-coding genes there are catalogued, etc.

Under the tables is a section called Complete dataset download links -- this is the section you want (unless you only want a subset of the data - but why not get it all!)

This plain text file (once uncompressed) can be loaded into R (or any other language) to be parsed and analysed as per your requirements.

It is worth updating the version you download quite regularly, as they update the HUGO database with new/updated info quite regularly.