I usually end up with a mix in the later stages in the game, to form more stacks of doom.
In the early game however, All-hero or almost all-hero stacks can be great for blitzing. Especially if you can keep the stack move up (mounts, etc.). If you are trying to knock off an AI player early, and if the goodie hut gods were kind to you, such stacks are great at taking out cities.
In the later game, when defenses are stronger, and unit sizes are bigger, this isn't as effective. but while unit sizes are still in the group (3) range...
100 Fame is pretty easy to manage in the early game, so this means a Sov and 3 heroes, plus an extra unit (probably the Brothers Sparus or Panca Archers), and maybe one more unit if you've researched Drills (the recent change to Mounted Warfare makes Drills a prereq now, so odds are good you'll have researched it). Sure, the heroes in these stacks don't gain experience as fast, but since you may be blitzing the opposing cities of a neighbor at that point, experience is coming in quickly enough. After you've cleared out some of the nearby lairs, of course!
Plus, make sure one hero has first aid at least, to increase the stack healing rate. This means less trips home in order heal are required, until you take the next city and hence can just stay put for a round or two while you heal and hold the city, until the reinforcements are built/arrrive. Doesn't work as well with the raze strategy of course, which also has it's place in blitzing.
Early game cities are much easier to take out than later game cities, when things like war colleges, etc. come into play. Plus, early game cities are smaller, and hence have less City defenders to contend with.
Plus, if the hero stack suffers a defeat, you get them back five turns later (once the Sov is back in action), a little worse for wear of course. Spearmen/Clubber/etc. units just die!
Having one summoner in the mix works great with this strategy, as Elementals are disposable and easily replaced, whereas new units take time to build... Air Elementals are awesome for this!
So, I find myself stacking heroes together for a bit in the early game, but once I can start producing units in decent numbers, that's when I start splitting them up, and using them in fire support roles and such.