Having just finished the first campaign, I'm actually a little bummed to find out how the legacy characters work.
It's not really the case that you can continue a character's story over the course of several campaigns. When a legacy character is recruited for a new campaign they are a new person with the same name and appearance and some of the same skills. Their relationships are forgotten and their age is reset.
It doesn't really make sense to me, and although I haven't yet dug into the legacy system (I only just started my second campaign), it doesn't really give me the feeling that I'm creating an ongoing saga for these heroes -- it's more as if I have a stable of clones to recruit from.