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Bcs Heroes outside an army won't participate in battles, and they don't provide some skill set.
Likewise, they have different tools to use when travelling alone.
Thus, what's your objective ?
Wizard is great in an army with a lord who can't cast spells.
Fighter heroes are decent help for wizard lords and generally great backup to provide some buffs in the frontline.
Ranged heroes such as the engineer or witch hunter are specialists with very different roles, you will have to check what they do a little to get the most out of 'em. In this case the Engineer (dwarves) makes the dwarven shooting units much better and can give ammo.
Witch hunter is kind of a human assassin who is able to hurt priority targets at mid-range.
A separate army only for heroes wouldn´t make much sense - except You have some income or other passive effect guys for a province - and wnat them to be in a settlement, to not have all these notifications.
Else You should look up what heroes do. They can be used in armies to help there - or on the campaign map to help there.
The only heroes that I keep on the campaign map more than in battle are assassin heroes, not that I dont keep a few in my armies they just have a solid reason to also be running around solo.
Also just leave one hero out forever, they'll have much farther travel range and good for scouting ruins, undiscovered areas, where enemy armies are etc.
And lords are - as said - the army leaders. Perhaps consider playing the tutorial campaign, as WH3 has one, unlike other TW titles.
Depends on a lot of factors, including what faction/race you're playing. But don't worry about it too much, experiment with heroes in and out of armies since you're just starting out. Go for hero actions and using them in the army as well, see what works best in your situation. Sometimes assaulting an army with a hero and then attacking in the same turn with your army can have really good results.
Some races can benefit greatly from having heroes outside armies since they have really good passive and active hero actions. But this is something more toward the mid-late game. In the early game, a hero in your army will always be stronger than any tier I-II unit you can recruit, regardless of type. Often their value is worth more than one unit, especially the early stuff.
Generally you want at least 1-2 different heroes in each army, or at the very least in your main army - especially in the early stages of a campaign.
In other situations and depending on who you play with, armies can have half their unit count be heroes. For example, Bretonnia doesn't have the best melee infantry, so you're better off using 5 Paladins in your army to serve as the front line.
I like to categorize heroes as such:
Fighter heroes - such as Empire Captains (Empire), Nobles and Handmaidens (High Elves), Thanes (Dwarfs), Paladins (Bretonnia), Assassins and Chieftains (Skaven), etc --- heroes whose role will be to either a) hold a line; b) kill enemy units; c) assassinate high-value targets or focus threats such as artillery or enemy heroes; or d) distract enemy units and tanking towers in siege battles
Caster heroes - such as Plague Priests, Wizards, Chaos Sorcerers, etc --- heroes whose role will be, depending on the lore of magic they use to a) wipe out ridiculous amounts of units in a fight (careful with friendly fire!); b) generate Winds of Magic for your caster Lord; c) support your own units either with buffing or healing (Lore of Life is extremely strong in game 3); or d) debuff enemy units or lords;
Specialist heroes - these are heroes such as the Engineer (Dwarfs) or Packmaster (Skaven), or Loremasters (High Elves) -- these heroes have a more niche role in an army and provide general support either through stuff like replenishing ammo (Engineer) or complementing a specific role. they don't necessarily fall in either Fighter or Caster role, but some can fulfill both (such as the Loremasters).
Finally, a note about equipment -- after you gather a good amount of equipment, be sure to optimize it; generally equipment gets auto-equipped to your Lords or Heroes as soon as you obtain it, and it doesn't always get equipped on the best character. You generally want high Melee Defense (highest priority) for your line-holders, for example. Ignore Armor, it's a misleading stat.
Sorry for the long text, but I got a bit excited about providing info and I drank a lot of coffee today. Hope it helps.