It has to be done ALL within the same game. So for example you create a private game. Go to the area that is Terrorized and kill stuff. Get the Ire message, kill more stuff. Here is where the fun starts. When you get the message that a Herald is hunting you, you have to have still creatures left (and unique bosses) to be able to face him. If you have cleared the TZ and get that message, need to wait until the next TZ.
What is common and annoying. I was in Throne room and just as 5th wave was coming I got the message that a Herald was hunting me in Throne. 5th wave comes, I clear...and that was it. No actual boss spawned. This happens a lot of the "A Herald is Hunting you" appears when you are at the end of clearing a TZ.
Solution, need to remain in the same game (remember, cant ever leave that game) and wait for the next TZ. Start over, but this way you get a chance to spawn another Herald. After hours you may get to your 5th Herald which can give you a 1/1000 chance (if playing P1) for a Sunder to drop.
I have never seen a game mechanic so bad that it just screams "USE A BOT". Heralds are the dumbest content of the entire D2 history.