[Amhazair]

I suppose you mean their level in the different paths of magic (fire, death, nature and the like)? They don't improve automatically or easily. With the appropiate level in construction and the apropiate paths you can construct some items that boost one or more paths. (A list of all the boosters can be found on page 282-283 of the manual. That's the page I've used most often. )

Alternatively you can use magical gems to 'empower' you mage in that path. To do so just select the 'empower' order when your commander is in a province with a lab. This is cripplingly expensive though, and generally only done to experiment/for fun in SP, or occasianally to reach certain benchmarks in MP (you'll start to figure them out when you play more)