Quick and short since there are no guides up yet.
This guide follows what is recommended in the champion spotlight.
I usually follow the path this build goes.

The most important thing to remember when you are playing rumble is that it is not a bad thing to overheat. Spam your skills as fast as possible, especially Q. They are massive harass to enemy champs.

Don't forget to use your W for a small shield (good for when you know damage is incoming - turret blast, or karthus ult etc.) and a 1 sec run speed boost. You can W all the way to where you need to go. Again, do not worry about overheating!!

With this build your E is very weak, but use it to harass/slow, you get one shot free each time you use it even when you are overheating, don't forget to use your free shot.

Your ultimate is directionally targeted. You press R and click on an area, then drag your cursor the direction you wish the missiles to go. This can be tricky when you are chasing after someone but I have found this ult invaluable especially in team fights. People you are chasing usually are too worried about getting away to run out of the inferno so continue to take damage and remain slowed allowing you to catch up by using your W/ghost. Don't forget to E/E while chasing down as well for additional slow. Once you get rylai's you will slow with every ability by default so it will be very hard to get away from you.

Enjoy rumble. He can be extremely fun to play. :)