The present contribution aims at proposing a comprehensive and tutorial introduction to the practical use of wavelet Leader based multifractal analysis to study heart rate variability. First, the theoretical background is recalled. Second, practical issues and pitfalls related to the selection of the scaling range or statistical orders, minimal regularity, parabolic approximation of spectrum and parameter estimation, are discussed. Third, multifractal analysis is connected explicitly to other standard characterizations of heart rate variability: (mono)fractal analysis, Hurst exponent, spectral analysis and the HF/LF ratio. This review is illustrated on real per partum fetal ECG data, collected at an academic French public hospital, for both healthy fetuses and fetuses suffering from acidosis.