I think a healthy Pennington plays the entire season. Henne has shown great signs during preseason, and I would love to see him play this upcoming season, but it is probably better if he didn't. Let Henne sit the year on the bench as the #2 and have him learn from Pennington. It worked for Cincy when they played Kitna and sat Palmer on the bench his rookie year.
Henne has the goods and likely would be able to play and play well in his rookie season. He started at Michigan as a Freshman, so we know he can handle the pressure early on.
Still though, I think you take advantage of having a QB like Pennington and let Henne grow into the job rather than throw him into the fire. I think we finally have our long term QB in Henne, lets just be patient with him and not rush things.