It's an interesting balancing act in WBC 1. Early on your hero is VERY vulnerable, and is not recommended for anything but converting buildings. However you get bonus XP points for (I think) for every 100 units your hero kills, so on missions like where you have to go across the undead infested forest, but they're all stationary. Take a couple of white mages along (get them in your retinue soon as you can, but then don't level them up so they stay cheap). Then slowly chip away at the stationary units, this sort of focus can help bring your hero on a little quicker. However for the army based scenarios, keep your hero in a nice pack, and don't particularly involve him in fighting a big battle. Even hide him in a tower where there are assassins or goblins around (if you don't have a white mage or unicorn to cure him). For these games you're playing pure RTS, build units, tank rush, acquire resources, win with big army.
Then near the middle of the game (at least for a pure warrior class) your warrior starts to be able to take down the opponents without taking a lot of damage. Here you want to use him to clear down the packs of small, weak enemies. Things like orcs, wolfwriders (possibly goblins, but keep a cure spell near you), or their dwarf equivalent. You can't win the battles on your own, but with a decent squad of troops behind you, they can keep things occupied while your dude does damage.
Near the end, you've got a tank that is near indestructable to anything but those bloody liches, their fire attacks are always a problem. Still, by this point you can charge your warrior straight into their base and destroy the whole thing without a problem, this makes the last levels easy.
Oh, and do at least 3 or 4 quests per map if there's a quest giver. I think these also provide an XP bump if you complete them in a mission.
Build up your training skill early on, as that means you start getting the additional XP earlier. I think 21 is a good point to aim for almost solely before you need to start skilling up other bits to keep your hero alive.
Hope that helps.