I don't do protein just before relaxing, but I do alternate my Henna treatments with protein rinses using Joico K-pak or Aphogee 2 min Keratin. By "rinse", I mean that I don't deep condition with them. I just leave them on for a few min and then rinse.
Sometimes, I will do a protein pre-poo instead, depending on how I feel. This seems to be working for me.
Henna alone, was not enough for me. My hair was getting over moisturized and too soft.