I think they dont scale or level up at ALL. So wait untill high level then get your favorite I think...
Proof? Got Lydia at lvl6, now at lvl24 mobs 2-shot her even though I gave her full daedric armor.
That's odd, actually. Because on one of my characters (my Paladin style one), I picked up Lydia at a low level and I got up to 20 with her by my side. We were playing on master difficulty and we both had full dwarven. She doesnt eve have a shield (I gave her a two-hander; yes I know she has higher one-handed/block skills) and she kicks the crap out of everything she comes across, blood dragons included.
I have also begun to wonder, though, if there is a bug in which your companions strength is scaling with the difficulty (Adept, Expert, Master, etc.) and getting stronger like all other NPCs do.