I've washed several time without a henna treatment as part of my regimen for the day and I have foun that the thickening affects (much like the color) are permanent. I believe part of the reason that some might not have yet gotten permanent results from it is the number of time they have hennaed and the manner in which they are letting the henna condition their hair.
Henna makes your hair thicker because the tannins in it bind to the keratin in your hair. Someone once compared it to strings wrapping around a larger string. The original string gets bigger and stronger. The effects of henna are cumulitive. The more you henna the more the tannins bind to the hair and the thicker and stronger it gets until the hair reaches a saturation point.
In addition adding heat facilitates the binding of the tannins to the hair molecules. Many ladies may not use heat after they have applied their henna because it is not entirely necessary/or they don't want a color release. But if you think about it heat is just energy that causes molecules to move. So adding heat facilitates the process by which the tannins bond to the hair, therefore making each henna treatment more effective.