Source: Warhammer Fantasy: 4th Edition

Characters With Units
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Champions are members of their unit and always fight as part of it, moving, attacking, fleeing, and pursuing alongside the rest of the unit. Champions are often extremely strong, tough or astute members of their unit, and comrades look up to them and take pride in their prowess. None-the-less, the champion is a member of the unit like any other trooper. He might even be the unit's commander, although this is not necessarily the case as many units have a separate leader and champion. A champion fights with his unit for the entire battle and cannot leave it.

Except for champions, character models can fight on their own as individuals, although they are free to join units of ordinary troops and fight alongside them if you wish.

To join a unit a character has only to move so that he is touching it. Once he has joined the unit the model may be placed in its front rank if you wish. Note that the character will use up a proportion of his move to reach the unit. If the unit has not moved then it cannot now move further than the character, as its remaining movement has been wasted waiting for him.

A character who has joined a unit may leave again during any subsequent movement phase. He may not join and leave the same unit in a single turn, but he may leave one unit and join another if you wish. A character may not leave a unit while it is subject to some compulsory movement rule, so for example he cannot leave a unit which is fleeing, which has declared a charge, which has rallied that turn (because it cannot move) or which is engaged in hand-to-hand combat. If a unit declares a charge any characters which have already joined it must charge too and take part in the resulting combat. This means that once hand-to-hand fighting has begun a character will not be able to leave the unit he has joined until all the fighting is over and any compulsory movement such as fleeing and pursuit has been resolved.