This will be your biggest decision when it comes to the draft phase. You need to decide 2 things:

What your LANE demands, and what your TEAM demands

You play azir for the lategame, but his early game is no pushover, you want to make use of it as much as you can.
Naturally, if you go into a team of 4 tanks/bruisers, you will opt for conqueror, but what if your laner is xerath for example?

Your keystone WILL determine your build. So you must decide what you will be doing in the draft phase.
Generally the factors that will determine this are:
Enemy tankyness
Enemy mobility
Laner mobility
Laners range
What your team already has (if you have a brand and lillia i doubt you need another dps mage)

Ultimately it falls down to you and what you WANT to deal with, if you want to have a ****ty laning phase for the sake of your comp, or vice versa. Or if you are specifically learning and want to otp one particular style, up to you. But take a keystone that matches what you are doing.

ill just list some interactions that you should keep in mind when playing this guy, bugs interactions, whatever have you

Your soldiers are melee, meaning youll get 2 stacks of conq per autoattack. hf

If the enemies see your soldiers, they see YOU. Even if you are in your bush, you are revealed if the enemy has vision of your soldiers.
(this is written absolutely ****ing nowhere)

Your W, just like wards, will pop up on the closest side of the wall, meaning you can extend it a little.

Your ult CANNOT be dashed over while its moving, once it sits in place, it can,

Your ult picks up people that are slightly behind you too. and will ALWAYS put any unit right in front of it

If you ult someone under your turret, try to do it without the minions, as the turret will shoot them first obv, you can do this by autoattacking the ranged minions once, and the melee minions thrice, your ult damage should kill them immediately.

Shens field, Jax counterstrike, all block your autoattacks (recent change i hate it), but not teemos blind.

You do not have a laning passive, your passive is the turret and thats it, so untill you destroy a turret you have nothing to aid you. Once you do get it however, its honestly pretty nice now.

Its not on the level of Maiden or tibbers but it is a pretty reliable SIEGING tool.
Keep in mind, this thing has an EMBARRASINGLY low cooldown, always spam it.
It doesnt affect things that much, so having it down often is nice.
It reveals nearby enemies, and applies your item effects (liandry, ludens, shadowflame)

The only useful times you want to place this down is if a teamfight is happening nearby, so you have a place to run back to with your friends
Also when lets say baron is up, and the botlane minions are pushing in hard, you can usually place this down to earn you some extra cash and prevent them from taking inhibs or turrets while youre away.

You honestly would not believe how often people just forget it exists, or underestimate the damage, so you can get away with more than a few kills using this.

Your Q and its usage are where half of the learning curve stems from.
Petend like youre the king piece in chess, and Q is how you move every other piece.
Move them too far out and people will close in on you and kill you, and your Q moves ALL of your soldiers, so you really wanna be careful how you use this ability.

In lane, use it very sparingly. Your soldiers dont do that much damage, barely more than your regular autoattacks, i would only use it to proc keystones like first strike hob or electrocute, manaflow bands and so on.
The cooldown is long and the mana cost is steep. So early one you want to use this only when you need.

Just like wards, casting it on a wall makes your soldiers dash to the nearest location, which can sometimes make you extend them REAAAALLY far.

If multiple soldiers hit the same target, the damage wont stack, the slow however, will.

Having multiple soldiers makes this ability a little less precise, since all of them will scatter at its tip, you can see what i mean in practise tool.

Also, the indicator lies, they dash sliiiightly further than what the Q range tells you, letting you poke, and if you are quick enough to even autoattack beyond your range. about 50 units away or half a teemo

This, is where the other half of the difficulty stems from.
This is your everything, this is why you play azir.
This will take so much time and practise and interactions and limit testing to see and understand literally everything this ability does.

For starters, you should get used to the whole range shenanigans, practise tool to understand what you cant and can do. how to kite, etc

Early game, this ability will honestly not do much for you, its barely stronger than your regular aa's except it pierces, so you can push in that way, but otherwise its main use is poking

Treat this like a stick, always keep enemies on the edge of its range, if they come closer, run and kite, if they run away, chase and poke, never let them get closer than your soldiers max range.

You want to place it where the enemies will spend most of their time, e.g. for yasuo you want to place it in the middle of the minion wave so no matter where he dashes, you can always poke him, against katarina, you want to reach ranged minions for when she backs out,etc

Again, just like wards placing them on the side of walls places them to the next closest spot, so you can use this to get a cheeky wall dash

This also counts as both Spell and an autoattack, it WONT pierce banshees for some reason though. but it will apply things like lich bane, nashors on hit (recent change), and very importantly red buff burn. getting your hands on either buff is now a very big powerspike, since you are VERY ranged red buff regen will always be applied as you dont have to interact with the enemy allat, and blue buff unironically gives you infinite mana.

ive tinkered a little with my options to help me kite better, unfortunately i do not know what i did exactly but it goes to show you can tweak how your autoattacks work.

Your E sounds underwhelming, but is very much crucial to you.
This is your escape, and your engage, and your only forms of it at that.
This ability when comboed with your Q of course lets you shuffle, And that adds a whole new layer to this.
You can dash over 2 entire walls if done correctly. (you can dash from the dragon pit into red pit for example)

And this ability, more than any other, should never be wasted.
If you **** up your Q, fine, you wont do damage, if you **** up your W, fine, they come back quick.

You **** up your E? you cant get out now unless you burn your flash. and it has a LONG cooldown too.

Early game only use this ability to escape ganks, its not as powerful as say katarinas dash, but its definately on par with aurelions W.
Remember you can also combo it with your Q for a shuffle, so you can E away from the enemy and Q towards the tower, making a curve on the way (harder to hit skillshots)

Though this will butcher your mana, if its a life or death, do it.
Early on you can also use this to trade with the enemy, but this i would use only if all of you are low enough.

Remember that you bump into champions, dealing some damage, and importantly gaining a charge of your soldiers when you do bump into them, which you can use to block an autoattack or maybe two early on.

You can obviously use this for ult shuffles, but ill go over that in the R section

Your ult is just what you need as a character now, some good engage/disengage.
You will use this to shove people under your turret, peel for yourself and your team, insec several people into your own team etc.

While people are flying up in the air, you can both autoattack them, ignite them, flash away (in case they have a point and click dash like yasuo, so you make sure they cant escape), and whatever other decision you have to make, youll have one entire second to do so.

Now i know shurima shuffles are cool, but HONESTLY, dont do them all that often.
Sure you can make a nasty engage when you roam botlane, up untill minute 20 you can do it however much you like, late game though if you do this, you will most surely die.
You usually want to keep this to peel for yourself, and if you can another teammate like the adc.

You will absolutely LOVE using this in jungle teamfights, the wall is wide enough to completely lock enemies in, our out. You can use them to make a safe escape for your team, or shove them all in narrow pathways, like wolves, for your team to hit every single ability on them.

Keep in mind you can also knock people over walls with this, and even pick them up from the other side if you are close enough.

With the tank azir build, you want to shuffle as much as possible, otherwise keep this as a peel tool. WHen you see a GOOD opportunity to shuffle. Inshallahi may the light guide you on.

The ult also has 2 parts, the charge and the terrain
The charge is when its moving onwards, this is when it deals damage and knocks people back, people that are unstoppable will pass through it (like olaf), but once it becomes terrain, it will no longer be passable and will need to be dashed over.
You and your team CAN walk through it, while the enemies cant.
Remember that the enemy can also use this to **** you over (akshan grapple qiyana R kayn E heal etc)