Question is

Toughness and soak come off the damage once or each time damage transfers to a new henchman? Seems like they are all sharing one henchman's toughness and soak.

Once, and then remaining damage gets applied to them 1-by-1. When 1 dies, the rest of the damage gets applied to the next, and so on. Also remember the Wound pool. It's '# Henchmen x Toughness = Wound Pool'