No need to get "itchy" Get out there and SHOOT!!!
Like Graybeard said, most rimfires are not intended to be dry fired. The occasional accidental "Click" on an empty chamber shouldn't damage your rifle. As Frank suggests, snap caps are available if you wish to dry fire. The best system I've used is supplied with high end target pistols and holds the bolt/obturator/slide slightly rearward and prevents the striker/hammer from gaining full momentum and "peening" either the hammer face or the area around the firing pin.
I've been shooting some Henry Rifles lately and have found them to be wonderfully accurate, reliable, good looking and affordable. Every one that I have been working with (testing new Skinner Sights developed just for Henry's ( see
http://www.skinnersights.com/henry_rifles_18.html ) has been very smooth and flawless in feeding anything I've run through them.
I did a range shoot on paper and held one hole groups off the bench at 50 feet using Fed. American Eagle HP's. (What I figure is a standard off the shelf available, affordable ammo) (Using Skinner Heny Sights)
Can't say enough good about Henry Repeating Arms!
ENJOY!