I find that building merchants out of cities that have merchant guilds really helps. I focus on building merchants on a select number of cities to build up the guilds, as well. Anyways, out of my experience with M2TW, I'd say that practice makes perfect with merchants. Worst-case scenario, you'll just have to recruit another merchant if you lose yours. Unless your faction is an economic powerhouse, merchants aren't too useful, in my opinion, anyways. At best, I've only had a surplus of a thousand florins, give or take a hundred, through merchant trade. I have a tendency to train up assassins, and when they're not busy, I send them on merchant-hunts.