How to check Win/Loss for each hero in Dota 2?

As of now (29/04/2012), you can't. There is an external service who provides it, though.

It's this website: http://stats.dota2.be/. You have to create an account associated with your Steam account, so people won't be able to see others' individual stats. It seems they get their information from data mining every match played.

I'm not affiliated in any way with them, so I can't comment about security or anything. However, linking your Steam account is safe, as it uses the Steam API. In any case, I would recommend using a different password for this site.

With latest Dota 2 patch (25/05/12), Valve added the possibility to see Win/Loss stats for all hero directly with game client, in the Account Details.