Henchmen are invaluable in the early phase of the game. However as enemy Super Agents start to show up, you might want them to hide. as only Super Agents can permanently kill your henchmen, here are some practical ways for protecting your henchmen:
1. World Domination Map. Easiest way in hiding your henchmen and most profitable. Even if they are "Found out" on the map, they automatically go into hiding. The down side of sending henchmen to the world domination map is you may occasionally forget they've returned or when they do return you send them again to the world domination map and they walk/run half way from seaport to the helicopter pad (not just re-enter the same way they came), either way they are out in the open and vulnerable to Super Agents in those very few minutes.
2. Guard Duty. Make a room with a level 4 access entry to the door. Henchmen will usually automatically guard the door until ordered otherwise.
3. In Da Room. No.2 doesn't work all the time, in fact for some odd reason, sometimes henchmen don't respond at all. The most effective and safe way is to create a room, put all your henchmen in it and apply a level 3 or 4 access to the room. For some reason, they don't leave the room (or complain either, like your minions). So it might be a good idea to place this room somewhere close and accessible, so when things get hot, you can quickly send your henchmen to action. Remember to send them back to the room, otherwise they'll just wander about and get killed by a Super Agent.