Having bid farewell to Master Lane, the four of them didn't embark on their journey immediately. They needed to obtain a technique similar to "Heavenly Butterfly Change" first to disguise themselves as the Red Clan barbarians while travelling across the continent.
Master Lane generously gave them the "Heavenly Butterfly Change". All four of Heaven's Chosen ones could practice this technique. However, their followers might not have the aptitude to learn such complex techniques, thus they needed simpler ones.
Indeed, each of them had gathered a group of followers under their command. Under the jurisdiction of Master Lane, they had formed their individual minor power factions.
Yes, even Glenn Mitchell, who was known for not being sociable, had followers. His label as an "impoverished" man inherently attracted a group of individuals of similar backgrounds.