there are two layers of upgrading mercenaries:
exp, as you described in post
and enhancement which you can do in the house by enhancement( it's like adding another mercenary to existing one till +10 with lower probability of success with every next try. Then in promotion tab making it a higher grade, quite easy

then, of course, it's best to use mercenary to end of his life and close to that upgrade to +10 and change to higher grade :)

what am I doing in ROR ?

building and testing item sets :)