Large language model (LLM) agents excel at solving complex long-horizon tasks through autonomous interaction with environments. However, their real-world deployment faces a fundamental device--cloud dilemma: on-device models are efficient but often brittle, while cloud models are stronger but costly in computation. State-of-the-art LLM device--cloud routers usually make coarse task-level decisions, which cannot adapt to the changing difficulty of multi-step agent interactions. To address this issue, we present Hera, a step-level device--cloud LLM agent coordinator for long-horizon tasks achieving a strong performance--cost Pareto frontier. Hera adopts a novel two-stage training paradigm: (1) imitation learning for cold-start, followed by (2) reinforcement learning that jointly optimizes task success and cloud usage efficiency. The first stage casts step-level routing as a supervised classification problem: the device agent is replayed on cloud trajectories, with each state labeled by the agreement between device and cloud actions. In the second stage, we perform cost-aware reinforcement learning by grouping identical states across trajectories and updating Hera with labels favoring higher expected return and fewer future cloud calls. We evaluate Hera on ALFWorld, WebShop, and AppWorld, where it consistently outperforms prior methods, achieving 92.5% of the cloud-only success rate with cloud use in only 46.3% of steps.