If you do some research you will find a metric ton of BS on the subject of dry-firing. There are guys who can "prove" that dry-firing a gun in which the firing pin strikes nothing is still undesireable because of mysterious stuff like "crystallization" of the metal or some such voodoo. If guns really were as fragile as some claims, we could never use harsh language around them for fear of offending and weakening the metal by altering its molecular structure.
ronnie01, if you are concerned about dry-firing your Henry once at the end of each magazine loading (and I think that's probably nothing to worry about...) you could do what we did as kids with our tube-magazine Cooeys. My dad was concerned about dry-firing as well...he simply had us load a spent .22lr case as the last round inserted into the tube i.e. the round closest to the muzzle. You lost one round of capacity, but you gained an "alarm clock" that alerted you when you were empty, with no dry-firing occurring.
If your concern is dry-fire for practice, just be aware that putting an empty case into the chamber and then cocking the hammer manually for numerous trigger pulls will mangle that case up so that removal can be difficult, and I would think that after a very few strikes of the firing pin the metal of the cartridge case has been deformed so much that it isn't achieving anything in terms of cushioning the firing pin fall. Using a plastic drywall anchor (flexible) might help here...I don't know. Maybe check the condition of it after a few trigger pulls, and keep monitoring it for deterioration. Even if you got only a few pulls per anchor, they're cheap.
I've gotta get out of this thread now before I learn something else...this morning I found out what the third button on the Keurig is for, so I'm done for the day...