Henin, the tournament's top seed, toughed out a 6-4, 6-4 win against Serbia's Ana Ivanovic, the fourth seed, after struggling with her serve and four service breaks.
Sharapova, the No. 6 seed, trounced fellow Russian and seventh-seeded Anna Chakvetadze 6-2, 6-2.
"It is going to be a tough final, she's got nothing to lose," Henin said. "(Sharapova) has had a tough season, but now she's back at her best level and she's a champion."
Sharapova recorded service breaks in both sets against Chakvetadze, and saved all five break points against her own serve to improve to 6-0 all-time against her compatriot, including four wins in as many tries this season.
Sunday's Henin-Sharapova winner of the season-ending event will collect $1 million, with the runner-up earning $500,000.