Oxfordshire Way
The Oxfordshire Way is a long distance path, running from Bourton-on-the-Water (Gloucestershire, UK) to Henley-on-Thames (Oxfordshire, UK). See wikipedia's entry for more information.
Tagging
Relation 68685 contains a relatively complete set of the ways that make up the route.
Route through Henley-on-Thames
I have not been able to find any signage or waymarking for the trail in Henley itself. The Oxfordshire County Council guide book for the way (which describes the walk in the Bourton to Henley direction) ends with the instruction "climb over a stile on the main road turning left for the town centre and the River Thames", which suggests that one is supposed to walk into Henley along the A4130 / Bell Street. In the absence of any clear non-copyright source for a detailed route along the pavements of Henley, I propose for OSM purposes to start/end the route where the public footpath joins the A4130.