Most recently in March, Ulster claimed a 22-18 win at the RDS - the venue of this Saturday's final and Henry believes Ulster can inflict a fourth straight final defeat on Leinster, who have lost at this stage in each of the last three seasons.
"It was pretty daunting being in our first final and the nerves won't be as bad this time," said 28-year-old Henry.
"We're more experienced and have strong competition for places but it will take our best game of the year to win.
"As players we don't want to finish our careers without winning something.
"We have made progress over many seasons, it hasn't happened overnight, and we feel this is our time.
"We don't want to leave anything behind.
"If Leinster are the better team on the day, so be it, but we will give it everything and we badly want to win this one."
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