They do, they gain 50% of the exp heroes do though, so they level up a bit slower.

The unit's level is displayed on a horizontal XP bar on the unit's information window(same as for champions). The number on the icon is indeed the unit size(number of figures)

You should also note that the experience number won't always be exactly 50%, as the 50% is calculated pre-bonus calculation. Plus don't forget to take multiple heroes into account. Here is some examples:

Say a monster party was worth 60 exp.

If you had one hero and an archer unit, and a milita unit:

Hero gets 60 exp (+bonus)

Archer gets 30 exp (+bonus)

Militia gets 30 exp (+bonus)

If you had 2 heroes and an archer and a militia:

Each hero gets 30 exp (+bonus)

Archer gets 15 exp (+bonus)

Militia gets 15 exp (+bonus)

If you had 3 heroes and an archer and a militia:

Each hero gets 20 exp (+bonus)

Archer gets 10 exp (+bonus)

Militia gets 10 exp (+bonus)

The number of regular units don't matter, i.e. if you had 2 archer units, 2 militia units, Anna (the wolf), a summoned warg, those units all receive half the hero amount, so in these cases they'd all receive either 30, 15, or 10 per each case above.

Point of all that being, only have one hero in each army UNLESS you really need the help in taking an opposing force down. Adding more regular units to each army is just experience point icing on the cake.