They dominated the game, particularly in the first half, when Walsall keeper Jimmy Walker stood between them and an avalanche.
The 30-year-old always seems to play well against Gillingham, and this was no different.
He pulled off three fine saves in the space of two minutes early in the game, before being finally beaten on the stroke of half time when Patrick Agyemang flicked home from just a yard out, as a Gillingham training ground corner move worked a treat.
Hessenthaler, whose own goal at the Bescot earlier in the season robbed Gillingham of a point, took the corner, Chris Hope headed on for Agyemang, standing in front of Walker to touch in.
Hope was unlucky with another powerful header that bounced off Mark Wright, standing on the line while Mamady Sidibe and Agyemang went close with other chances.
Desperate times called for desperate measures and Colin Lee withdrew talismanic figure Paul Merson at half-time. He and Lee Bradbury had been totally isolated as Gillingham pressed forward relentlessly and it brought limited rewards as Walsall had their best spell of the game immediately after the restart.
Top scorer Jorge Leitao, who scored Walsall's winner in the corresponding game last season, came on but the Gillingham defenders held firm.
Leitao sent one effort wide just before the hour, but Gillingham extended their lead just afterwards. Agyemang was again the scorer, leaving defenders Darren Bazeley and Neil Emblen in his wake, before curling his right-footed effort into the far corner.
It was his fourth goal in a Gillingham shirt, all at home, but Hessenthaler admits he wants more from a player who could be a real matchwinner for Gillingham on his day.
Walker continued to thwart Gillingham with fine saves from substitute Mattie Jarvis, Sidibe and Nicky Southall.
However he was beaten for a third time just before the end. Southall's corner from the right picked out Danny Spiller and the hard-working midfielder headed home to seal a good afternoon for Gillingham.
However results elsewhere still means they are in 21st place, a point clear of Derby.
They face a home game against Ipswich on Saturday, while Walsall have to recover from a pointless Easter by facing Norwich at Carrow Road.
Gillingham: Banks, Cox, Hope, Leon Johnson, Southall, Hessenthaler, Smith, Spiller, Hills, Agyemang, Sidibe. Subs: Ashby, Brown, Rose, Jarvis, Pouton.
Walsall: Walker, Bazeley, Carbon, Emblen, Aranalde, Wright, Andrews, Osborn, Corica, Merson, Bradbury. Subs: Petterson, Leitao, Kris Taylor, Fryatt, McSporran.
Referee: G Hegley (Hertfordshire).