I build a lvl 1 Inn in every city, then destroy it in some cities once I get the Feasting Hall to the desired lvl (because you need an Inn to upgrade your Feasting Hall). But once the Feasting Hall is as big as you want it - there's no real need for an Inn in every city, because I capture plenty of heroes. Or, you can recruit heroes from your cities that do have Inns and reinforce them to cities without Inns.