xa_chan: Well, on the map, when you move a hero, there's a "horse" icon when you click where you want to go. This icon become "swords" if you are going to fight enemies. And it becomes a "helmet" when you click on another of your heroes.
When you do that, a new window opens, where you can exchange troops between those two heroes. In that same window, look on the side, there might be tabs and especially one that will display your items. Then, click on the item you want to trade in the inventory and click on a free slot in the other hero's inventory.
There you are, you exchanged items !