You can capture a hero several ways.
First and most likely is someone attacks you (probably a scout bomb) and loses. When you win the attack if you have a vacancy in your feasting hall you have the potential to capture the attacking hero.
Another way is the capture a city. When you do you sometimes capture the heroes that are in that city. Check in the feasting hall to see what you have captured. Also remember to check medic camp to get the troops out.
You can also capture heroes that are defending valleys or npcs if you capture them.
I have been told that you can also (but seldom) capture a hero from a failed scout however I have never seen the actually happen.
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No.
You can appoint a hero by the dropdown box on the top left under the coordinates and mission.
By sending waves of archers or cavs to lower the loyalty to 0 so you can capture it.
Get the loyalty down to zero I say attack it first with 10k warriors and then do spam waves with 3k warriors
Get an Inn and Feasting Hall built, You can recruit the hero in Inn and he will be available from the feasting hall. Alternatively if you have a Leather Helm of Robinhood from the amulet then you can apply that to get a hero. Make sure your hero has at least one of the attributes high - preferably politics or attack in early stages (>50 min)