And if you never have, you should. These things are fun and fun is good.
I just looked at the rules, and the only relevant section is this:
"You can move only one Hero during the movement phase, even if all three are in play. You indicate which Hero is being moved by the token you use to plan movement."
While it's not really explicit about it, I think it would say something if you had to indicate which one you're moving beforehand. And like you said, it just works best that way anyhow.
This is the rule that raised the question for me. I would have thought it would state that things are hidden explicitly rather than have us 'assume' it is...