In terms of HD combos, set your self against the A1 and do a raw activation. In KOF, the chances of dropping a combo a HD are high enough to warrent this sort of training, in my opinion. If have 50% of your HD left, then you've still got a lot you can do, such as guard-breaking, using overheads (if you have them) to cancel into specials, and using specials that are normally unsafe.
I'm gonna ramble about safe jumping for a few paragraphs but it all revolves around the same stuff, so if you practise for one thing then it will be easy to transfer to another safe jump technique.
Another big one is safe jumping. Shutting down guard-cancel blowbacks and wake-up DPs is a really important part of the game. I don't know what its like for most of the cast, but after a throw you usually get a safe jump. Set someone with a 4 frame dp, such as fireball Kyo, and set whoever you want for the second. For those that don't know, you have to set the buttons on your stick to record, play and loop. Record the 2P character throwing 1P (fireball Kyo), running up and then jumping with a normal that hits deep. Perform an ex DP with Kyo on wake-up and see if the 2P recordered character can block in time. Keep recording the 2P character until it works. Its vital that you implement this in your game. If you can safe jump 4-framers, then you can safe jump anything. You generally don't have to worry about the A or B version of DPs/flash kicks because they don't tend to have invul like C and D versions. The trade off for the invul though is a slower start up time.
There are particular safe jumps in this game like in SF4, where after a knockdown you whiff a normal and then jump. You can check GuttsCL youtube page for that or hopefully you can find a one off video by 'some guy/gal' on youtube. However, knowing how to safe jump is a vital ability. You can safe jump off other moves that knockdown as well but you have to be aware of the opponent tech rolling.
Another one is guard cancel safe blowback jumping. I'm separating this part to regular DP safe jumping because guard cancels are harder to punish. Set the 2P to 'whatever character' and turn on guard cancel blowback on block ( I forgot what the actual menu options were, soz soz). Do a meaty jump in attack with whatever character you want. This will cause the 2P to do a guard cancel blowback. If you do the meaty jump in attack right, then will block the GCCD when you land. The part that comes after depends specifically on your character because you will be pushed back a considerable distance. However, they are still vulnerable so since they're giving you an inch its best to try take a mile.
In DandyJ's tutorial I posted on the front page, he talks about jumping frame traps (I think that was the name). Try that one out as well.