After fighting a battle, a Hero's Loyalty may decrease. The probability of capturing a Hero is inversely proportional to that Hero's Loyalty. If a Hero's Loyalty is above 90, they are impossible to capture.
First make sure that your Villa has room to accommodate another Hero. After each upgrade, the Villa will be able to accommodate one additional Hero.
The targeted city must have a Hero present. You can then occupy the targeted city.
Using Strategies, you can reduce the Hero's Loyalty.
If the Loyalty of the targeted city's Hero is low enough, there will be a chance that you can capture the Hero.
After successfully capturing the Hero, go to the Villa and recruit them to your side.