The myth of a magical "Henson Stitch" is pretty much just that - a myth. Don't believe anyone who tells you otherwise. A good stitch for hand-sewing fleece is what is frequently referred to as a baseball stitch. It is particularly successful with fleece and fur fabrics because it creates a stitch which is sort of zig-zaggy, not hard and straight like a sewing machine will make (side note: many people who make puppets for Henson don't even USE the "Henson Stitch" - they use teeny tiny little whip stitches, which are also very successful). While it is no mystery, it IS hard to describe verbally. With the RIGHT sides of the fabric together, push your threaded needle into the RIGHT side of one of the pieces of fabric, close to the edge between the two facing sides, so it comes out the WRONG side. Now loop the needle around towards where the two pieces come together, and again, push it into the RIGHT side of the opposite piece of fabric so it comes out the WRONG side. Three warnings: the stitches have to be very close to the edge of the fabric, but not so close that the edge will ravel; the stitches have to be fairly small; and the tension of the stitches has to be consistent or you will end up with a messy-looking seam. It is certainly MUCH slower than whip-stitching. It is also usually necessary to pick the fleece/fur fibers out of the seam and trim away any errant, over-long fibers.
So there.