I was messing around outside of bone palace with worms and was getting a good 164 exp per kill killing solo. Then I thought i could bring 1 hero with me for 2 worms and 2x the ownage and level that hero as i went. Got the hero from 18-20 surprisingly fast and with two worms your almost invincible because jununda wail is like an infinite res sig so you can res as much as you want.
Sorry if this idea was already posted.
Thanks to Amsterdam for his farming with worms thread.
Fast and fun way to level heroes?
tuna-fish_sushi
Chrono Re delle Ere
Well another way of exping them is to take from priests those little missions to get points and double exp and make a little team; u get points for titles and double exp. I use to do it (;
Phoenix Arrows
Outside Yohlon Haven is nice...good for getting Sunspear Points as well.
Shrouded Waffle
Two spots I level mine:
1) Arkjok Ward, right outside Yohlon Haven when farming bugs for SS points.
2) Desolation (gogo junundu)
1) Arkjok Ward, right outside Yohlon Haven when farming bugs for SS points.
2) Desolation (gogo junundu)
Sprites
switch heroes to take quest rewards , up to 3k exp to 3 heroes at same time 
semantic
You can also level pets while inside a wurm, although it looks like they don't evolve if you do.
Stupid Shizno
throw on an xp scroll too.
T.T.H.
Take one hero and play the beginning of the Arborstone, till you reach the entrance door. Danika and Menhlo will take good care about the healthbar of your lil' hero... without snatching XP away...
Jimmy McDoodle
I took mine to Factions and did those stupidly easy 2000-3000 xp missions till they were level 20s.