Get the Boots of Swiftness first for that really great movement speed to catch your foes.
Then skip to the Tiamat, this will help you get in those extra mob kills with that splash damage to get more Max HP with Sion's E.
Now it is time for that big chunk of health to make you even more of the man of steel you are, Warmog's Armor is just the item for this time in the game. Not only doe sit give you alot of health, but also gives you alot of health regeneration.
Next is the Atma's Impaler, this is good for its armor and it's extra attack damage, ESPECIALLY late game.
Then we need the Frost Mallet which is extremely great for it's 35% slow. This will hlep you catch all those fast people that like to hit and run.
Lastly we have The Bloodthirster, great for it's amout of lifesteal and huge amount of attack.
All these items together make you one Super Steel Sion :]

I chose these masteries to help Sion be able to catch his opponents by surprise. Also when Sion dies the life spent dead helps alot because that can be the difference between winning and losing.

Get the Mark of Desolation for that armor penetration that Sion desperately needs. This will help with champions building armor builds like Rammus.
Next comes the Seal of Might this will help you hit higher and take enemies out faster. They will think agian before attacking you.
Then we have the Glyph of Focus this will drastically help your cooldowns and make your Cryptic Gaze be usable more in fights.
Lastly is the Greater Quintessence of Regeneration, this will increase your health regeneration letting you farm more between fights with enemies.

I use Ghost ad Cripple for Sion. It makes it so he can catch enemies and flee from them. Other Summoner Spells you could use are Flash or Teleport.