I've already implemented a FindIlmBase and FindOpenExr in this pull request: https://github.com/openexr/openexr/pull/167
Because ilmbase and openexr are built with cmake though, it's supposed to export itself as a package that can be used by find_package instead. I started an implementation of this earlier this week to replace the Find files in that pull request but not had time to finish it yet.
As you're asking about it I'll make this a priority and try and get it finished asap. Because you're right, it's difficult to know what's best with no standard version.
Ashley