Not sure how familiar you are with slings, so forgive me if I'm saying basic stuff that's already very obvious to you...
I believe your gun came with the studs already on the gun, yes? If so, using them will probably be easier than getting a sling that loops or cinches around the stock and barrel.
Many slings come with the metal swivels already attached to the sling. If not, you can just buy the swivels separately for about $10 per set. I typically use Uncles Mike's swivels. They are sold in 1" and 1-1/4" sizes depending on the width of the sling. A 1-1/4" sling might be a more comfortable choice for a solid gun like your Henry.
I like using a
"hasty sling" shooting technique sometimes, so I prefer a slings that is pliable and without extra bulky pads but not too stretchy. One of my slings is this
cheapy. I don't care for billboard logo on it, but it comes with swivels already in place and fits my criteria for hasty sling use. There could be worse places to start.
These are the slings available through
Cabela's. Not saying it's the best place to to get them or that they have everything, but it gives a general idea of what's out there.