I should get to bed soon, but I'll answer the high points real fast.
Hendigo or henna will probably make your hair feel a little thicker, at least for a while. It won't cause you to get new follicles or anything, but it might plump your hair strands a little. I don't believe one will have more of an effect like that than the other.
Repeat applications will build up more color. I don't know if you'll see much more thickening though.
Henna on its own is orange to red, generally in the terra cotta color spectrum. If you use it alone, it will pull your hair to a warmer shade than it currently is. You won't get a bright orange if you're starting with darker brown hair, but if you use it alone, you will probably see it shift to a deep brownish red. If you use henndigo instead, it will probably tone more to a darker brown, but I wouldn't be surprised if it still warms up your color a bit. Expect to see it flare with orange in late afternoon light as the sun gets low, and to shift colors a bit depending on lighting. Henna tends to do that. Also expect your hair to look a bit more orange for the first couple of days after you've hennaed and then for the color to settle down a bit. We tend to describe that slight browning of the color as "oxidation", but I'm not certain that's actually what's going on chemically.
A bit of color coming out in your first wash or two is totally normal. However, I wouldn't personally shampoo so many times -- my scalp would feel awfully dry after that. My typical post henna routine was more along the lines of rinsing well, then smearing in a bunch of conditioner and rinsing that. Maybe shampoo and condition once each a day or two later.
Your smell description sounds about right. Henna has a bit of a hay-like smell to it, which most people don't seem to mind. (A bit of powdered ginger in the mix seems to help counter that smell though, if you're among the people who hate it.) Indigo smells sort of like peas, and is almost universally thought of as stinky by people who run around with it on their heads.
Adding oils is optional. Many people avoid it because they think it'll harm the stain. I've never had a problem with that though, and I've done hennas with a LOT of olive oil dumped in. Probably any plant oil you like is acceptable though. Just mix it in after you've added the water component, or you'll end up with these little henna-oil clumps that just do not want to dissolve!
Wash your hair when you think it needs washed. Henna really doesn't wash out the way hair dyes do. 90% of people find they can't get it to go away even if they try. You might notice the indigo fading a bit, but it likely will become permanent too after 2-3 applications.