After watching an episode of Super Nanny (with Jo, NOT Nanny 911), I tried some direct discipline with Henry to address his climbing on the dog.
I tried stopping him with direct eye contact, a slowly spoken, yet firm voice, and a couple time-outs where I took him out of the room and told him he was not allowed to climb on Vegas. It was a lot of attention on the situation, but I think I got somewhere.
Now, if only I could remember to follow it up the next day?