Cockbain's one-year-old son Toby died of a brain tumour last September, and the Wales lock has founded the Toby Lloyd Cockbain Foundation. A charity dinner will be held in Swansea on March 2, with all proceeds going to childrens cancer charity Latch.
And Henson - the most famous man in Wales after Saturday's heroics at the Millennium Stadium - is putting the silver boots he wore against England up for auction. He is also donating the golden boots he wore when kicking a Wales-record 14 conversions against Japan in the autumn.
"It's a fantastic gesture from Gavin," Cockbain said yesterday. "His kick won us the game and I think both pairs of boots will raise a lot of interest.
"The whole Welsh squad will be at the dinner, which is already sold out. We've got Sir Clive Woodward coming down and I can't thank these people enough for supporting what is a very important charity. Latch made a distressing ordeal a little more bearable with their help and support - they were amazing.
"They were on hand whenever we needed them and enabled us to spend more time with Toby during his last few days. For that, we will always be grateful."
Tickets to the charity dinner on March 2 were sold out in days, but blind bids for either pair of Henson's boots can be sent to The Toby Lloyd Cockbain Foundation, PO Box 4177, CF14 8AF.
Legendary Welsh entertainer Max Boyce will host the auction, with other items including Cockbain's jersey from Saturday's victory, and a place on the bench for the Scott Quinnell/Rob Howley testimonial match at the Millennium Stadium on June 5. Two years ago, Wales hero Neil Jenkins raised 8,000 for charity by auctioning a pair of his boots.