After you have built the first 6 items, sell Dorans Blade to buy the Frozen Mallet. By the end of a good match you can have upwards of 5500 health with 65% lifesteal.

The HexTech Gunblade is important. as you all know its hard to finish people off with Sion because they run away. The Unique Active of the gunblade allows you to slow them down by 50%, which is why you dont need to have Exhaust, leaving you open to have clarity so that you can just keep killing without having to head to base so often.