Ok, so here's a little background about me. My LoL summoner name is MonsteR311. i'm only level 24, but have been playing Master Yi since level 2. So i'm not just making this build with no prior use of Yi.
Out of every champ in the, I find Master Yi to be my favorite. If built right, and played right, he is a tank murderer (along with every other champ in the game).
I also play Sion quite a bit. and these 2 champs together (me and my friend, who is lvl 30) are murderous. If they play well and work together, they will almost never be stopped.

I chose Flat Attack Damage Marks and Glyphs, with per level Seals. I chose per level Seals, because the Flats aren't on this website, but it's ok. I chose these because you will need all the Attack Damage you can conjure up. and I chose Penetration Quints, mainly because it's easier to deal with tanks that way.
The only thing I changed for Sion, is Attack Speed Marks and Seals. He's going to need it.

I chose the standard 21-9-0 mastery layout. The AD, penetration, and extra Life Steal from the 21 in Offense will help tremendously early game, in the way it helps you're sustain, along with you Meditate.
The 9 in Defense will help you against those pesky AD carries, and give you a little extra health.
The same masteries with Sion. Extra damage and health. very good with him.

My IDEAL late game build would HAVE to be, Berserkers greaves, 2 Phantom Dancers, Infinity Edge, and 2 Blood Thirsters. This build offers multiple things: massive Life Steal, very fast attacks (without the use of your ultimate), Incredible attack damage, and (almost) constant critical hits (making your Life Steal THAT much more effective. Along with those things, it makes you move VERY fast without your ultimate. With your ultimate, you have, If i'm not mistaken, 521 movement speed. If ANYONE tells you that this build is stupid, they can just uninstall the game. I use this build EVERYTIME I play with Master Yi, and I almost ALWAYS dominate. the only time I don't dominate, is when I have a ****py teammate laning with me. If you don't believe me, play a few bot games with this EXACT build, and see how badly you dominate (Co-op versus AI Intermediate). I Guarantee this build to work, if you have a good teammate to lane with.
NOW. For Sion I chose 2 Tiamats and a Warmog's instead of the Extra Phantom Dancer and 2 Bloodthirsters. I did this because Sion's ultimate (post level 16) gives him 100% life steal. So after that, the Bloodthirsters are useless. I gave him 2 Tiamats, because that 100% AoE damage to nearby enemies. That means his autoattacks on one person, hits EVERY champion near by. So that mixed in with his Ultimate makes him unstoppable, unless stopped by constant stuns. Which makes him someone to not go into fights first at that point.
Either way just don't let Sion get focused and it's a guarunteed win in any teamfight.

For Master Yi, max your Wuju Style first, then your meditate, then you alpha strike (seeing how it's only used to close distance with AD)
For Sion, get Cryptic gaze first, then max Enrage AS SOON AS POSSIBLE for the extra health and AD he snowballs from it. Maxing this first is VITAL in many stand-points. it is VITAL to get minion kills by LAST HITTING ONLY. DO NOT under ANY circumstances waster your health by attack minions early game. ONLY LAST HIT. I CANNOT EMPHASIZE THIS MORE. After maxing Enrage, max Cryptic Gaze, to stun them longer, and for more damage. Don't waste your points maxing you Sheild, seeing as how it's worthless.

Flash/Exhaust on Master Yi. Self-Explanatory.
Flash/Ignite on Sion. Also Self-Explanatory.

this is more a strategy to win lane. Let Sion stun the AD carry, then Yi uses Q then R then E, in that exact order and very fast-like. then pound on the AD carry and dive with Yi if you can get the kill. If done correctly, their carry will almost never be in lane. It's hilarious.

IN SUMMARY. I probably didn't explain anything as well as i've seen happen countless times. It is, however, very simple to get correct. Yi+Sion=INCREDIBLE. I just cannot even begin to fathom how broken this lane composition is. It's just.....******ic.