Henderson gave the Reds the lead from Trent Alexander-Arnold's corner.
Wolves dominated the second half but Firmino popped up to fire in a winner from Henderson's pass.
Henderson later said, "You know it's going to be difficult. Wolves are a good team and make you work. It's an intense game but we kept going and kept fighting.
"We defended well. The big man at the back was brilliant again and the keeper. We had chances too so that's something we want to work on - put the game to bed quicker."
On his headed goal, he continued: "That could be the first one! I've been getting in the box on corners recently. Thankfully I managed to get something on it and it went in.
"You're probably bored of me saying it but It's just about the next game. I want to keep going. Every game is the biggest of the season. We have the FA Cup game on the weekend. We need to keep bulding on what we have achieved so far."