One challenge to train deep convolutional neural network (CNNs) models with whole slide images (WSIs) is providing the required large number of costly, manually annotated image regions. Strategies to alleviate the scarcity of annotated data include: using transfer learning, data augmentation and training the models with less expensive image-level annotations (weakly-supervised learning). However, it is not clear how to combine the use of transfer learning in a CNN model when different data sources are available for training or how to leverage from the combination of large amounts of weakly annotated images with a set of local region annotations. This paper aims to evaluate CNN training strategies based on transfer learning to leverage the combination of weak and strong annotations in heterogeneous data sources. The trade-off between classification performance and annotation effort is explored by evaluating a CNN that learns from strong labels (region annotations) and is later fine-tuned on a dataset with less expensive weak (image-level) labels.