How do I link heroes?

A few combat heroes in the game have 'links'. When you open their page in the heroes menu you will see a 'Link' icon at the top left. Tapping this will show the other heroes that they have a link with. If you place these three heroes in the same legion then the legion will receive some buffs. This may be useful as you are building up your legions and heroes but in general it is better to try to place 3 orange heroes in your legions and unlock their skills.