Hi,
Try this:
while True:
    clock.tick(60) #set on 60 frames per second
    for event in pygame.event.get():
        if event.type == QUIT:
            sys.exit()
    key = pygame.key.get_pressed()
    if key[K_LEFT]: heroes.move_left()
    pygame.display.update(heroes_group.draw(screen))
The PyGame event manager fires events only when a key's state changes (that is, the moment it is pressed or the moment it was released, a single event is fired).  
What you want to do is to check the current state of the keyboard.  "pygame.key.get_pressed()" does this.  The state "key" that it returns can then be checked for the required key.
Ian