If your goal is to measure the highest possible HP on the dyno, I'd suggest using first gear.
The dyno measures torque and converts the measure into horepower figures.
If you are interested how torque develops throughout your RPM range (e.g. horsepower), you would want to use 4th gear since it's a 1:1 ratio.
Any gear lower multiplies the engine torque, any gear higher depreciates the engine torque.