To add to it (the confusion, not the explanation), this is how Experience breaks down:
They gain Experience in battle just like a Henchmen. Picking up shards and taking enemies out of action does not give them extra exp (heck, it's just an ordinary job for them!) You use the bar from the Henchmen list to keep track of advances (meaning they advance at 2, 5, ...uh... 9? etc.) They max out at 15, I think.
However, every time they DO advance, you roll on the Hero Advancement chart, allowing them to improve wounds, learns skills/spells, etc. They can be pretty pricey (considering with what you pay upkeep each game, you can but half a henchmen), but they definitely add a flavor.
They also don't count towards the max number of people you can have in your band (15 max for Mercs, 12 max for Witch Hunters, etc), and are not counted when selling wyrdstone... (heck, you're paying them enough already!)