Some characters do not have to be with a particular squad, such as Eldar Phoenix Lords and Imperial Guard Commissars. These characters earn experience points in the same way as other units, and if they are fighting as part of a squad they will receive any experience points the squad earned while they were a part of it. However, they make rolls for Battle Honours separately from any squads they joined and so may gain a different skill.
Independent Characters
Source: Core Rulebook 3E, p. 160
Characters who don't have to join a particular squad earn experience the same way other units do, sharing in a squad's earnings while attached but rolling for Battle Honours separately.