Saunders started working with his players on Monday morning, immediately after he was confirmed as Stale Solbakken's successor in what was a 24-hour turnaround in the aftermath of the humiliating FA Cup exit at Luton.
Wanderers open the Saunders era at home to Blackburn on Friday night and Henry says preparations have been going well.
"I had heard good things about Dean Saunders and the first impressions from the first couple of days have been excellent," Henry told the club's official website.
"Training has been good and the lads have really enjoyed it. We have got to carry on that work on the training pitch and are looking forward to taking that into the games, starting against Blackburn.
"The manager arrives here with a lot of experience and has worked with top quality players with Wales and in his other coaching roles.
"And he has been doing a very good job with Doncaster who are right up there at the moment.
"The players need to get behind him quickly and do everything we can to try and salvage the season."