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Check out curlynikkis blog, specifically her henna experience
http://www.curlynikki.com/search/label/Henna
She henna'ed several times a week to build up the effects without any issues. They key thing may be making sure you follow up each henna application with a moisturizing DT.
And of course, just like protein use, it depends on your hair type, strand thickness, and moisture/protein requirements, as well as heat use. Using straight henna multiple times a week for an extended period of time sounds like
to me - but looking at Nikki's hair, it definitely worked for her. 