This is a more personal reference than anything else. This guide can be used on just about any support, with some minor variations in item builds and choice of reds, but this will get you where you need to go with just about any support.

Leona is a really good champion, but let's single out some of her pros/cons.

Pros:
-Great initiate.
-Some of strongest early game presence out there.
-Crazy amounts of CC.
-Base stats and W reduce the need for many defense items to still be useful.
-Snowballer

Cons:
-If behind, gets way behind.
-ADC/team reliant.
-Lack of/prone to (being) poke(d).
-Has a lot of hard matchups.

So, here's a lot of situational stuff. First off, let's figure out what's good.

First things first. Laning phase.

If you're winning your lane, you can go straight up philo stone. If it's an even lane, sight stone rush. If it's a hard lane, dorans shield rush. If you can afford one of the items (excluding sightstone), but don't have any money for wards, wards always take priority.

If you have spare wards, then you can get the item, but never go to lane without at least 2 wards. 3 wards is usually a good number to aim for when entering lane. This number is also included with your vision wards, but try to keep your vision wards seperate from your main wards. Vision wards are for vision/lane control, not just for seeing things (except for evelynn).

After core.

I put in most of the info you need to know about boots just in the tips.
Good defense:
Shurelyas - Almost a core item, but only get it when you believe you need it.
Randuins - Very expensive item. Generally I put this off until the way late-game because of this fact.
Locket - Anti-AP. I think it's fairly overestimated at this point, but the shield is never a bad thing (if you remember to use it).
Mikaels - This is a very, very situational item. Leona cannot use most of the stats on it. The main highlight is the cc removal and should only be purchased if necessary.

Good offense:
Twin shadows - Normally shurelyas would be a better choice. This is a good item to get against heavy AP teams (3 or more), or teams which can escape your shurelyas. It's also good for map control as it has such a long range. You can tell if there's a baron attempt going on, for instance.
Shard of true ice - If you're not doing too amazing, but there's another tank on your team who is, this isn't a bad choice. The best thing you can do as a support is support your team. If you're the primary initiator, it's almost unnecessary. It's still not a bad item to use on yourself, but it's a little costly.
Zeke's - ADC fed, but that won't happen so don't worry about it.

A very important thing to note about items is that as a support, you won't ever be full build until ~50 minutes, and even then you will have an inventory space open 90% of the time for those extra vision (pink) wards. Here's a good example of your standard build at 30-35 minutes:

Sightstone - Philo - Boots of lucidity - Locket

This is assuming you have anywhere from ~7-10 assists. Most of your gold should be going to oracles and vision wards. There should always be 3 wards on the map at least. 4 is a good number to aim for, and 5 is even better. Knowing where to ward is important, and so is knowing where the enemy keeps their wards (for your pinks/oracles to be maximum effectiveness).

A good rule of thumb with pink warding is use your pink wards on buffs, dragon, and baron. Oracles should clear everything else inbetween. Of course, if the enemy team isn't warding, oracles is completely pointless.