Tanking Shen

Mark: Magic Pen for Vorpal Blade
Seal: Build is big on dodge. Masteries support this Seal
Glyph: Raise base MR
Quintessence: Tanks have health

Standard Tanking Masteries while making sure to get the 4 points into dodge and speed burst when you do dodge.

This is different than most builds. The first 2 items will be a health potion and boots. Shen is very slow so getting boots right away allows him to harass much more effectively with Vorpal Blade. Finish the boots for a speed boost and some MR and CC reduction

Leviathan is a nice item to get early on the total price is low and you can start building stacks right away.
20 makes Leviathan effectively 820health and 15% damage reduction

Next purchase is a heart of gold while building Randuin's Omen. This will give just a little armor, gold and health while you save.

Randuin's Omen is the next purchase. This is a staple item in the tank arsenal. Warp in click and taunt. This gets all targets on you and reduces their movement and damage. This has health, CD reduction, Armor, slow and a great active.

Guardian Angel is an important item. MR and Armor + this will keep of you stacks of Leviathan or Warmogs Armor if you manage to get yourself killed

Grab Negatron Cloak on your way to Force of Nature for your last item. Great MR and some more health regen

Finally grab Warmogs Armor is the next item. Tanks utilize health!