Heimerdinger is a great character to play but he has a rhythm that needs to be learned. He has no great killer-combos but instead is a character who is often underestimated but can pack on damage when the enemy is least expecting it. Your goal isn't to BUILD defensive, it is to PLAY defensive and build offense.

Heimerdinger can be played two ways early on that change the early flow of the game. You can choose to ignore turrets in certain situations until level 5 or you can go with turrets and rockets all the way to level 7 when you get your first point into Grenade.

The difference is your laning partner. If you start with a strong starter who can kill early then don't waste your time dropping turrets as their early DPS is not so hot on Champions. Rockets and Grenades provide a stun/dmg effect that is hard to beat and results in dead Champions. You'll get more assists than kills but Heimy is a support character. Don't forget that.

If you are laning with a partner who starts strong and has a good AoE (like Brand!) then you don't want to actually start with the turret. Turrets are a big part of who Heimderdinger is but they aren't the be-all-end-all. Choose rockets instead so you can do your part to bring the enemy down with that last critical, ranged hit... i.e. when they enemy champion is running away from your combined might, chase after them and rocket their retreat! NOTE: If you leave minions around you're idiot rockets will go backwards. Try to kill minions if you can.

Primary Build:
Turret > Rocket > Turret > Grenade > Turret > Ult
Goal: you control the minion population and push to the tower and get kills as you start retreating. After you get your grenade this method will start to work very well. This is why I strongly recommend getting the grenade earlier than most builds. It has to be tossed carefully but it brings a lot to Heimy's early game.

Alternate Start Skill Build (laning partner has to be killing minions):
Rocket > Grenade > Grenade > Rocket > Turret > Ult
Goal: to be used for early Champion kills when your laning partner is using AoE all over minions and turrets would just be redundant mana-wasters. Use the grenade to stun and the rockets to maim. Your laning partner will do the rest.

There will always be serious threats to Heimderdinger, he'll never be a defensive rock. Champions like Xin Zhao and most assassins can seriously endanger the crunchy little Yordle, I'd also agree that Caitlyn and even Ashe can be problems. Mage tanks are Heimerdinger's primary food if you ask me. Assasins and fast melees that deal high DPS with stuns present the biggest problem. So there are a few things that you can do to try and avoid these things. Build speed, AP, and a bit of magic penetration and control your Heimerdinger correctly. What do I mean by that?

Well, push towards a tower. Place turrets just outside their area of effect after you clear all the minions out. Hit the tower, when a Champion shows up get their attention and flee backwards towards your turret. Pop a grenade after they cross the turret line, hit them with rockets and continue running. Don't be a hero. Heimy is no hero.... he's smart. And he's annoying and is played with a steady hand. Heimy doesn't blink at most ganks unless he has 1. no minions nearby 2. no mana 3. and no retreat strategy.

Playing defensive pusher with Heimerdinger means using your turrets to push and holding the line even after your minions are gone. You should avoid damage completely as you need to maintain your lane as much as possible for as long as possible. You run away a lot but use it to frustrate your opponents into chasing you. When laning bottom or top it really helps to have a partner who understands your character and will work with your turrets, otherwise the flow of attacking and defending becomes fractured and the machine gets out of sync. Heimy has to be played in the thick of things with minions and hopefully a laning partner to help out. Minions and turrets provide the damage finishers that you start with death fire grasp/grenade/rockets combos.

Everyone's favorite. Look I use the items I use because they work. This is the part that people will surely disagree mostly on, but as I take screen shots of my record with the 'Dinger I'll post them here. Here's the basic sequence in a text format:

Maki Pendant > Red Potion x2 > Fiendish Codex > Sorcerer's Shoes > Deathfire Grasp > Lich's Bane > Rabadon's Deathcap > (alternates like Void Staff or Meija's Soulstealer)

if you are in a long game you need to option it out with Void Staff for overcoming magic resistance or smashing the defense of melee characters. I'll also go Rod of Ages for the AP boost and Mana which will really help you be able to always have your turrets in the right position. Another great alternative is the Berzerkers' Greaves. They are bought in smaller pieces and the normal attack rate increase can help get that last hit.

Deathfire Grasp is relatively cheap and gives Heimerdinger an absolutely critical option to take 30% off of a Champion's health before he begins pounding his grenade/ rocket/ turret combo while providing the critical early boost to his mana regen, AP, and ability cooldowns. This item is the difference between winning and losing against Level 10 and higher health focused melee characters. Alone, your rockets and turrets can't do the damage fast enough to STOP a gank from a Warwick. Popping "1" "e" and then "w" while you are in range of your turrets will stop most fast attackers from taking you out and turn the tables. Take away the 1 and you add too much time to the kill.

Team work is important for your laning partner. If you are using the basic turret > rocket early build you should let your partner know if they are straying too far from the turret range. Your partner should not try to start a fight past their range unless he is trying to bring lead them back into its range. The turrets help everyone but just become minion farmers if your gung-ho partner pays them no heed.

If you get the chance to mid then do it with a smile. Heimy is a great mid-laner. You won't get lots of kills but you will take out towers quickly. You'll also level fast of course. But he isn't the most important mid character out there. If someone else is on your team who wants to mid then give it up. Heimy isn't the best at it, he's just good, others NEED to mid. So play your part and give it up to a critical midder like Ashe.