The best thing to do is always get as many Heroes as you can right from the start, these are the only way to earn money and most of the time are no dearer than henchmen, and there are no rules saying that you can't do so. And never have more than 3 henchmen in any group, some people have only one per group but i find 2 to 3 a better ratio as it always keeps the group alive. Until you reach max upgrades then just let them get killed off naturally.