there's no specific need to level a unit you merge into another, but if you're planning on doing a lot of inheritance it's a good way to farm up a ton of SP. There's also no reason to wait until she's 5* and 40, and a fully kitted-out Nowi will be easier to level to 40.
As an example I just merged 5 4* Olivias together. I had one 4* 40 with better IVs than the rest, and 4 low levels that I promoted into 4*. I leveled one of the spare 4* and merged the other 3 level 1s into her, which gave me something like 700+ extra SP to work with. I learned Wings of Mercy and Escutcheon on the +3 before merging her into my level 40 Olivia with better IVs. All the learned and unlearned skills get transferred over to the target unit, so she got those skills for free. Remember to MERGE, not inherit, I saw someone in here say they made that mistake once.
You might need to plan some stuff out to be as efficient as possible. You've got a few options with Nowi, especially a +SPD merged one. Fury/Vantage will work fine as will Triangle Adept/Quick Riposte. I doubt you have TA3/QR3 to go around so the former would yield a little more points in arena.
Of course this is all pointless if one of your Nowis is already fully set up. All that will get transferred.