Not Updated For Current Season
The Vampiric scepter is bought first to offset the life you lose from enrage.
Focus on killing minions so that you can get as much of a boost as possible to your max HP from enrage.
The sunfire capes help offset your slow attack speed, and the HP boost is always nice. By end game I have around 4000-4500 hp, which makes killing him very hard. They also help against opponents who can blind you as long as they are within range of the sunfire damage.
Sion hits HARD. Even without attack damage items, you can expect to out-damage opponents until late game (though the attack speed is pretty slow until you use Cannibalism).
This is a first pass, I will be tweaking and perfecting this build as I play it more, but so far I haven't lost a game using this build.