This guide is not the full thing as I am only level 20 and have not been able to test out level 30 masteries. So this guide is on most things besides Masteries. Enjoy and I hope you find success in this guide.

To start with I go for cloth armour for early defence and grab 5 HP pots. Early HP pots are helpful with Shen because he has no mana, which means HP pots can help you assist or get first blood.
With items after that I think you can get more IP with creep score. Giving Shen Wriggles lantern is a great way to get minion kills as with it you can hit up to 500 damage to a minion (note this bonus only works on minions) I then give Shen some magic resist and AD with hexdrinker. I dont find many champions using Hexdrinker as it can be very useful. I then go for armour to make Shen a strong tank. Aegis of the Legion and 2 Thornmails make him a very strong tank for armour. Warmogs armour works for most tanks. This can give him the HP to go with his beefy armour. Normally i dont get very far like this with money but throwing in a B.F. sword toward the end is nice for some damage.

The sequence is quite straight forward. I dont use feint often and I find vorpal blade and shadow dash are the main things that Shen needs. I try to make out Vorpal blade early as it can deal massive damage alone at level 9 (once its maxed) Mainly to minions. With the build I have the vorpal can do over 200 (esimated) alone and additionally attack the wounded minion/champion is a great way to stay in the fight because hitting it gives you health. Shadow dash is helpful for when the enemy over extends to a turret shadow dash can let the turret do its damage direct by taunting the enemy with it.

Cleanse - This is a helpful summoner spell which can get you out of problems early/late game. However late game your defence should be so massive you wont need too cleanse.
Ghost - If you dont have flash then ghost can be a helpful escape route.
Flash - Flash works with everything. Full stop.
Teleport - This is a good way to get back in the fight but isn't that useful in multiple occasions like NEVER EVER use teleport directly into 3+ enemy champions when you have no allies around.
Exhaust - great for catching opponents to get the kill, good for escaping and good for helping team mates.

Shens a great support champion. he can save people with his taunt and his ulti. Straight forward answer is he is a great Team helper.

Again my apologies this is a short guide but I dearly hope this helps you and it gives you insight on playing Shen. Good luck!