There's nothing particularly special about it. In the show when the character teleports he simply disappears and appears. No fancy flash of light or particles or and kind of effect at all other than sound. It's just basic compositing. Shoot him on a blue screen and comp that footage with the scene he's supposed to be in.
Either that or the show is all real and Hiro uses his special powers to do it.
Actually if you keep the camera still (on a tripod etc... you can even do it without compositing....
Just shoot with the actor and let him do whatever you need.
Let him go away (he can clap his hands or walk fading in the distance)
Then go on shooting for a minute the empty room
When you edit you put the empty room on layer one, the action on layer 2 and just play with cuts or transparencies on layer 2