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No, they seem to level automatically when you do - you don't have to talk to them. However, they are always one level below you. I suspect cim's monk will go up to 5th level once cim hits 6th.
That there; exactly the kinda diversion we coulda used.
Thats exactly what will happen. Except in the beginning of the game, henchmen automatically level when you do and they always stay one level lower than you. If you pick them up later, say when your 7th, they will still be at 4th level. If you want them to level talk to them and their will be an appropriate dialogue choice, they will the set down and level up to one level lower than your own, and in case your wondering yes their equipment gets better.
It is best to be thought a fool and stay silent, than to open your mouth and remove all doubt.