If the balloon operator wishes to move the balloon sideways (in a horizontal direction) he must know, ahead of time, the wind direction, which varies with altitude. So he simply raises or lowers the hot air balloon to the altitude corresponding to the wind direction he wants, which is the direction he wants the balloon to go.
The balloon stays inflated because the heated air inside the envelope creates a pressure greater than the surrounding air. However, since the envelope has an opening at the bottom (above the location of the burner), the expanding hot air is allowed to escape, preventing a large pressure differential from developing. This means that the pressure of the heated air inside the balloon ends up being only slightly greater than the cooler surrounding air pressure.
An efficient hot air balloon is one that minimizes the weight of the balloon components, such as the envelope, and on board equipment (such as the burner and propane fuel tanks). This in turn minimizes the required temperature of the air inside the envelope needed to generate sufficient buoyant force to generate lift. Minimizing the required air temperature means that you minimize the burner energy needed, thereby reducing fuel use.