Dear ginevra,
your question is related to my earlier question Moduli of Extensions.
There are some obvious problems which occure already if you fix the HN-factors themselves: Let $E,F$ be sheaves with Ext^1(E,F) one-dimensional. Then there are two isomorphism classes of extensions $0 \rightarrow F \rightarrow G \rightarrow E \rightarrow 0$. One is trivial, the other one is not. Moreover the trivial extension is the limit of a iso-trivial family of non-trivial extensions. Therefore the moduli-space cannot be separated.
Nevertheless, you can construct the moduli space of sheaves with HN-factors as an Artin-Stack: As pointed out by Arend Bayer, Bridgeland's Introduction to Hall-algebras (arXiv:1002.4372) is a good reference.
