Ma'a Nonu scored the only try of the game, but Australia were never at the races as they faltered under the All Blacks' dominance up front and water-tight defence.
Piri Weepu kicked four penalties and Aaron Cruden chipped in with a drop goal to complete a comprehensive victory over the Tri Nations champions.
The All Blacks are in their first final in 16 years and with a chance of World Cup redemption, having lost to the French in the knockout stages in both 1999 and 2007.
Based on France's scratchy win against Wales and New Zealand's complete destruction of Australia, the result would appear a formality next Sunday.
But Henry warned his men that the job is not yet done.
"I thought it was an outstanding performance, the boys were heroic out there," Henry said.
"I am very proud of them. We need to build again for next week and do the same thing hopefully.
"We have got to come down from this game and it will take a couple of days. It is a huge game of rugby (next week).
"We have lot of history with France at World Cups. We respect them and it will be a big game next week."
New Zealand's World Cup history with the French dates back to 1987, when the All Blacks lifted the World Cup with victory at Eden Park in the inaugural final.
But this is only New Zealand's second final since, and their first since the 1995 World Cup. The time has come to rid themselves of the chokers' tag.
"The guys' character was superb tonight. You can't ask for more than that. The defence was outstanding," Henry said.
"It is a good feeling - better than last time! - but the job is not done.
"It is important we understand that and we get our feet back on the ground over the next two days and build for this Test."
Australia coach Robbie Deans - a former All Black assistant coach - believes New Zealand displayed their title-winning pedigree with their demolition of the Wallabies.
"The All Blacks showed tonight they are more than capable of winning that (final)," said Deans.
"The intent is there, they are an experienced group. For the nucleus of them it is their third attempt, they are well versed, they are hungry and they have a lot of support around them.
"They will take a lot of stopping from here.
"Good luck to New Zealand in the final. They have worked hard for this opportunity.
"They made it difficult all night for us to create any momentum."
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