Summarize:

The oil is an emulsifier, while the salt is an exfoliant, so the combination works well to get the henna off of your skin. You can use any kind of salt you wish. You could use baby oil if you don't have olive oil. Vigorously scrub the stained area of your skin with the cotton ball. When the cotton ball dries out, switch to a freshly-soaked one. Keep scrubbing until the henna is gone. Once the stained area has been scrubbed clean, thoroughly coat it with the mixture. Then, wash the area with warm water and mild soap, and rinse thoroughly. If you still have henna on your skin, don't despair. Soak a fresh cotton ball in hydrogen peroxide, then use it to scrub the stain. When the henna begins to rub off onto the cotton, get a new cotton ball soaked in hydrogen peroxide. Keep scrubbing until the henna is gone. Hydrogen peroxide is gentle, so it shouldn't irritate your skin. But, if your skin seems dry after using it, apply an unscented lotion to the area.
Mix equal parts salt and olive oil in a bowl. Soak a cotton ball in the mixture and rub the stain with it. Leave the mixture on your skin for 10 minutes, then wash the area. Scrub the stain with hydrogen peroxide if it persists.