After some more thinking/tinkering around, I found that the Remington ThunderBolts are fantastic in my little Henry to 45 yards. Punching the same hole! No fliers. I was getting fliers with Winchester X, CCI Stingers; all brand of sub-sonics were horrible. All guns carry their own niche, and the ThunderBolts work great in this Henry. This is my new squirrel gun for me; being an old man and not wanting to carry around anything heavy. This little Henry will be around long after I am gone. I have other .22 rifles, but they will set in my safe; oiled, dry and ready for my grandson one day.
Hope this helps anyone who may have encountered problems finding a load that can stay tight on target on their little Henry .22.