Knowing what people know now, I would a.) create joint stock companies to manage trade with the Baltic and exploration/colonization of the Americas, b.) invite the Jews to Return to England, and c.) sell off crown monopolies and use the proceeds from that (and all the church property I'd be seizing and selling) to build up the navy. Also, I'd manage my undiagnosed diabetes in an healthy and sensible way.
If we can only do things it would have occurred to Henry to do, then I would more definitively accept Lutheranism and not do all the flirtation with reconciliation that Henry did.