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Sorry if this is obvious, but I cannot seem to answer this for myself.

Basically, can I bring a multi-detachment list, but join an HQ (character) choice of one detachment to a unit in the other detachment in the same faction? E.g. can I take a Wolf-Guard Battle Leader from my CAD and join him to my Thunderwolves in a Company of the Great Wolf detachment?

From what I can tell, the only restriction is the command benefit. So, the HQ unit would keep his command benefit, and the unit he joins would have their own command benefit, and that's it. And the HQ (character) would be joined to that unit for the entire game. I am getting nothing else from the Characters, Battleforged, Battlefield Roles, or Allies sections. Battle-Brother says independent characters can come and go as they please per the special rule....that's all I got.

Yes, you can join ICs from one detachment to units from another detachment.

I don't know whether the HQ would keep his command benefit. I'm inclined to say "no," based on the wording of the command benefits from the CAD, AD, and Nemesis Detachment.

That's all you need.
They can join any unit of Battle Brothers.

It's on the Allies-page.
Each Faction is a BB with itself (ignoring exceptions) and that lists all the things you can do.
The IC-rule is the second point in the list.

Your Company of the Great Wolf Thunderwolf Cavalry would keep their Command Benefit bonuses, and the Wolf Guard Battle Leader would keep any Command Benefit bonuses that apply to him, and any unit he joins unless there is a same-detachment requirement or similar.

In the case of a Combined Arms Detachment-sourced Wolf Guard Battle Leader joining a unit from another detacment you would lose nothing.

 Mr. Shine wrote:
Your Company of the Great Wolf Thunderwolf Cavalry would keep their Command Benefit bonuses, and the Wolf Guard Battle Leader would keep any Command Benefit bonuses that apply to him, and any unit he joins unless there is a same-detachment requirement or similar.

In the case of a Combined Arms Detachment-sourced Wolf Guard Battle Leader joining a unit from another detacment you would lose nothing.

Got it, thank you.

What do you mean by permanently joining? Independent Characters may come and go as they please throughout the course of a game by joining or leaving a unit in the movement phase.

Your two detachments are separate entities for list-building purposes, and you must fulfil the requriements of each. Once the game begins however they are one army but behave alongside each other as per the allies rules and the Allies Matrix.

Full disclosure, I am an idiot. I was reading (Character) next to the entry profile and forgot that Independent Character was listed under special rules; and for long enough to come up with this post. Although everyone's response did confirm for me what I was wondering.

Thanks, guys. I will try to do better.

You may only join a unit of you have the IC rule, or a rule allowing you to do so otherwise. Being hq has no bearing on this.