The 21-year-old, whose current deal expires in the summer, spent the first half of the season on loan at Alloa Athletic where he impressed with 11 goals in 17 appearances.
Henderson has returned to Hearts and will be part of the first-team fold, at least until the end of the transfer window, and then could go out on loan once more.
A decision will be made depending on transfer additions with the club “still trying to get a couple in”.
“It's the balance between bringing him in and utilising him a little bit with us or do we put him back out and let him play another 15-20 games,” Neilson said.
"The plan is to keep him for another couple of weeks, hopefully by then we will have recruited and then Euan will go back out.
"We're in the process of renewing his contract. I don't think we are very far away.
"He's done very, very well at Alloa. I still think there is development there but I can see the progression just by getting first team football.”
Hearts face St Johnstone at Tynecastle Park on Tuesday and will do so without Beni Baningime while Liam Boyce is set for a place on the bench with the striker not fully fit.
New signing Nathaniel Atkinson will be involved and could start at right wing-back after joining from Melbourne City.
“He's a top player," Neilson said. “Michael's done well there. Taylor Moore's done well there. He's going to add to that.
"Whether he starts we will have to wait and see.”