The IGI (www.familysearch.org) is reasonably complete for the Island as the parish register extractions are based on the 1911 official copy of the original parish regs - the films of this copy are available via LDS fam hist centres (look up in your phone book) - manxnotebook (tabline above) might help - look up genealogy.
There is an index to the 1841c census on www.lawsons.ca (should be transferred to iomfhs.im by now), copies inc online are available from several place eg ancestry - there are basically two henry 'clans' in the census - those with a base in Lonan and an irish born family headed by Isaac Henry a cooper. There are no baptisms that correspond to your 1830 birth nor are there any of the right age in the 1841c - the family I suggests are missing from the 1851c