SairaTasartir:
As you research your characters and cultures, be sure to save the quotes and sources you use and include them in your text.
That is the greatest advice for this. You really have a lot of freedom in how you go about it, as long as you keep track of the sources so that you can easily cite them later. You can just read about each hero, write notes, and watch for a theme to emerge. Enjoy your reading and note-taking, and make sure to include a citation for each note you take.
You can't expect to come up with a theme until you do a little reading. Otherwise, you'll be guessing. For example, you might argue that the four heroes all had "stubbornness" as a common trait. If you read about your four heroes, you might see that they were al known for being stubborn, so you can argue this way.
It will definitely be easier if you think of it as four papers as you start. Write about the three heroes you have chosen, and you'll suddenly decide on a fourth as you are writing.
Kevin, EssayForum.com