Stevenage tried to hit back in the 19th minute as Simon Heslop had a go from outside the box, but his effort was saved by the Wolves goalkeeper.
Bjorn Sigurdarson almost put Wolves 2-0 up in the 22nd minute, but his left-footed shot from the centre of the box flew wide.
Sako also wasted another great opportunity for the hosts in the 30th minute as he blasted wide with his left, despite being only a few yards out from goal as Wolves went into half time 1-0 up.
Stevenage pushed hard for an equaliser in the second half and they almost found it through Francois Zoko, who hit a right-footed shot from the centre of the box, but his effort was saved by Carl Ikeme.
The visitors were wasteful again in the 78th minute, this time as Filipe Morais skied over from a good position inside the Wolves box.
Wolves made Stevenage pay in the 81st minute when Henry tucked the ball away into the bottom right corner to cement the home side's victory and earn them three points.