Not Updated For Current Season
First off, don't be overwhelmed by the amount of items. Most are conditional and don't need to be bought.
This build is based on being an indestructible Tanky Nuke. Who is OP early game, can farm minions like a pro, and thus becomes fed late game.
How to Play Tanky AP Sion
First off you are a Tank before you are a Nuke. If you cannot absorb damage from your enemies so your AD carry can wither away at them you are not playing correctly. Your Nuke should be used as an initiator. Get a toon half health at the beginning of the Team Fight and your team will know exactly who to target and will gain an advantage in the fight quickly.
Your nuke is: Turn on your shield about 3 seconds before engagement. Stun an enemy, then detonate your shield. If you have Deathfire's Grasp use that even before the nuke and get them at 66% HP.
At the start of a game you want to get all three skills. The stun (Cryptic Gaze)is a good choice if you want to play aggressive or are laning with a partner because the stun can get an easy first blood, The shield (Death's Caress) has a high mana cost but is great at farming minions (i recommend you get it last based on your 200 starting mana), And the Attack Damage Buff (Enrage) is great for last hitting minions and is a good choice if your enemy is not ranged, and if you play passivly.
From there max Death's Caress because it will get you massive farming power aswell as good AoE damage to champions.
Then max Cryptic Gaze, as it will deal large amounts of damage and stun your target.
Finally max Enrage, for we are not focusing on AD however the first rank was important for extra HP and last hitting minions.
First buy a Ruby Crystal, this will make you have the most health right off the bat. I love doing this with my Tank builds because it makes be capable of tanking early game when tanks are usually useless. your Flat Health Quintessences should help too.
Buy Boots and Turn that Ruby into a Rod of Ages. At this point buy either Mercury Treads or Boots of Swiftness based on if your opponents have stuns and AP or if their main carry is AD.
Now Build that Rylai's Crystal Scepter for Health and AP.
Now either buy a FoN for an AP based champion, a Thornmail if they have a fed AD carry, or an Banshee's Veil if you keep getting nuked buy Ryze, or Ashe's arrow is annoying you. Anything situational like that.
Now pick up Deathfire's Grasp and enjoy CD reduction, increased AP, and that wonderful active that removes 33% of your target's current health.
Lastly buy a Warmog's Armor to make up for that last only-AP item you just bought.