I have split 3 rare heroes to obtain hero medals but obtained none, although I lost all 3 heroes. ..

When you split a hero you will get back a percentage of any wisdom medals that you have spent on it (upgrading skills) and of any gold spent also. You will also get 1 hero medal for the specific hero. You can find the hero medal by going to the Arena building -> Exchange option. Hero medals can then be exchanged for more wisdom medals.

The best way to convert hero to hero medel is go to any of your orrange hero which is not max.

1 skill of that hero should not be unlocked like 5th, 7th, or 8th. This 3 skills need orrange hero medel to unlock. So you choose the skill which is not unlocked and click on unlock then it will ask you to choose orrange hero medel where you will chose the orrange hero. There it will show this hero will convert to orrnage hero medel. Just click that and the hero will change to medel. Then cancel all if you only want the hero to convert to medel. The medel will stay there until you use it.