You can have only one active hero.... You have to kill off your 1st hero to train the second. It's expensive to do that though because the higher the level of your hero then the more expensive it will be to ressurect him....
What you do is start with a smaller hero, and then when you have your highest level attacker researched already, for example Haedan or Teutonic Knights, then kill off your first hero by sending him to an oasis, then start a new attacking hero with your highest troop. It's a little annoying to start from the beginning again with a new troop.... but it is well worth it for an offensive hero.
But yeah, there is no swithc to go back and forth... You just have to kill them... but the experience will be saved when they die... Just costs a lot to revive a high level Hero.