Hero Pieces and gold are all you need to craft heroes. Well, that and a little help from the Tinker. Try paying her a visit after completing Aldas!
There are three types of Hero Pieces. Hero-specific pieces can be found in both the Guild Shop and Glory Shop. Crafting with these lets you know exactly which hero you'll end up with.
There are also Random Hero Pieces. Crafting with these does exactly what their name implies. Just as with summoning heroes, you won't get to choose which hero you'll get. Random Hero Pieces do, however, come in different rarities. Using 3-star pieces will craft a 3-star hero, 4-star pieces a 4-star hero, and 5-star pieces a 5-star hero. You won't be able to mix and match pieces of different rarities though. For instance, 4-star pieces can craft only 4-star heroes.
Don't have enough Hero Pieces for crafting? Rainbow Hero Pieces can be rather useful when you're missing some. Their versatility allows them to help craft either a specific hero or a random one. Only the star rating must match. Accordingly, crafting a 4-star hero requires 4-star Rainbow Hero Pieces.
Keep in mind that you won't be able to craft heroes with Rainbow Hero Pieces alone. You'll need to have at least some regular Hero Pieces on hand. Rainbow Hero Pieces are best used for filling in the gaps, so to speak.