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Henna is made from plant leaves that are crushed into powder form, and when you mix the powder with liquid, it stains your follicles. If you've had it with hair-frying chemical colorants, henna can work as a natural alternative, though the range of shades this organic stuff can give you is much more limited. Basically, you're going to end up with a shade of red. If you want to avoid the more orange end of the henna color spectrum, you'll have to learn how to use henna like a pro and get crafty with your mixture.
Use a henna brand that's made from fully mature leaves to achieve a richer, deeper color red. Some brands of henna are made from leaves that are harvested before they're able to fully mature, and these pubescent leaves can dye your hair a lighter yellowish red or orange. If you're not sure whether your henna is all grown up or not, call the manufacturer and ask.
Let that goop percolate for a seriously long time on your hair. Henna isn't like traditional dye, which alters your shade in the time it takes to get a pizza delivered. Henna takes awhile to sink in, and the longer you let it sit on your head the darker and more vibrant your color will be. Try to let henna do its thing for at least a few hours if not longer.
Add natural darkening ingredients to your henna mixture to zap unwanted orange shades. Try adding red wine for a deeper burgundy shade, or try dumping some black coffee into your henna for a darker reddish-brown color. Use brewed coffee -- not lumpy, dry coffee grounds.
Mix different henna colors. Yes, traditional henna stains your locks red, but henna products with indigo added -- aka black henna -- give you a much deeper color. If you want to stay slightly red without going into orange territory, try mixing red and indigo henna.
Fresh henna generally works better than stale, old henna.
Just because henna isn't permanent doesn't mean you should start playing mad scientist without doing some tests first. Do a strand test to make sure you don't end up with a color you can't stand.