Not Updated For Current Season
The masteries shown here are not yet updated for the current season, the guide author needs to set up the new masteries. As such, they will be different than the masteries you see in-game.
This is my first build and I'm writing it 3 days after Caitlyn was released so it is a very early version.
I suggest ArmorPen marks, flat mp5 seals, attack speed glyphs, and ArmorPen quints. From what I have heard her main damage abilities do physical damage so the armor pen will greatly help with damage, also it is easy to run out of mana with her early game so the flat mp5 helps. Attack speed to make her passive proc more (you could exchange it for more ArPen or mp5 based on your play style).
The order of the late game items really depends on how the game is going and what the enemy is. If they are super tanky then get the madreds and black cleaver after bloodthirst. Up to bloodthirster is pretty uniform, I rarely alter the order of the first few items.
Focus on Piltover Peacemaker, it is you're damage dealer. 2nd priority is 90 caliber net, it is a good escape tool and can also be used to blink in range of enemies for surprise attacks. You could make your 2nd priority yordle snap trap if you want to try to snare enemies but it can be difficult and I don't think the damage bonus per level is worth it. I prefer to level 90 caliber net over trap because you get an escape that also damages and slows enemies. It becomes easy to kite while running away (from most champions) to use ghost then net and proceed to kite.
This build focuses mainly on AD and ArmPen instead of AS and crit. One thing to keep in mind is the stacks on bloodthirst, you need to keep max stacks all the time. That extra 40 damage is crucial (+80 on her ult).