Henry's desire for the New Hedonism is an attractive idea in that it's incredibly exciting but also a potentially chaotic idea in that it can lead people to do things they really ought not to do.
Lord Henry Wotton is a louche aristocrat who finds conventional morality a bit of a bore. Rebelling against what he sees as the staid mores of late Victorian society, he recommends the unrestrained pursuit of pleasurable sensations as part of an unabashed hedonistic lifestyle.
To a young man like Dorian Gray, Lord Henry's philosophy of life is incredibly exciting, intoxicating even. For him, the idea of pursuing one intensely pleasurable sensation after the other is just what he needs to realize his true nature.
However, as Dorian eventually discovers to this cost, the New Hedonism also has a darker side. If people are permitted to pursue pleasurable sensations, and if this is put forward as a standing challenge to existing moral values, then potentially, there's nothing to stop them from doing as they please, irrespective of the consequences.
Dorian learns this lesson for himself. His hedonistic slide into debauchery leads him to do things he really ought not to do, such as cruelly rejecting Sybil and brutally murdering Basil Hallward. Moreover, his headlong pursuit of pleasurable sensations corrupts his soul, a process shown in all its ugliness by the grotesque changes to the portrait that Basil painted of him.