I would be interested to know how this works too. I heard the same, about that they are set at a level corresponding to when you entered their 'zone' (not sure what zone is exactly). I am on pc so can use the 'getlevel' command to see what level they are. Lydia seems to be the same level as me as I level up, and so does the house carl at Solitude, they are both level 43 and so am I. Mercurio is level 40, but Eola (sp? the cannibal mage follower) she is only level 30, and I did enter the Markath area early on, before Whiterun, and Eola is in that vicinity.