Data and model heterogeneity are two core issues in Heterogeneous Federated Learning (HtFL). In scenarios with heterogeneous model architectures, aggregating model parameters becomes infeasible, leading to the use of prototypes (i.e., class representative feature vectors) for aggregation and guidance. However, they still experience a mismatch between the extra guiding objective and the client's original local objective when aligned with global prototypes. Thus, we propose a Federated Learning-to-Guide (FedL2G) method that adaptively learns to guide local training in a federated manner and ensures the extra guidance is beneficial to clients' original tasks. With theoretical guarantees, FedL2G efficiently implements the learning-to-guide process using only first-order derivatives w.r.t. model parameters and achieves a non-convex convergence rate of O(1/T). We conduct extensive experiments on two data heterogeneity and six model heterogeneity settings using 14 heterogeneous model architectures (e.g., CNNs and ViTs) to demonstrate FedL2G's superior performance compared to six counterparts.