The aim of this paper is to extend some notions of proper minimality from vector optimization to set optimization. In particular, we focus our attention on the concepts of Henig and Geoffrion proper minimality, which are well-known in vector optimization. We introduce a generalization of both of them in set optimization with finite dimensional spaces, by considering also a special class of polyhedral ordering cone. In this framework, we prove that these two notions are equivalent, as it happens in the vector optimization context, where this property is well-known. Then, we study a characterization of these proper minimal points through nonlinear scalarization, without considering convexity hypotheses.