This is my first guide so be nice please. So I was bored and I decided to write this and idk if this'll be good or not but the build works for me. The point of this build is to be basically a tank with ridiculous amounts of health and a decent bit of armor and magic resist. You'll end up with a monster who hits hard and doesn't die not even counting the constant slow you'll have up on your target. You're gonna be soaking damage whether you like it or not, more or less you can tank. So much for introduction but well have fun being the impossible to kill champ that no one wants to 1v1, kinda like Tankplank. Plus the pig table that you can dance on is cool.

Pros

Ridiculous amounts of health
Tough as nails
Decent speed
Nice CCs
No need for AD or AP items really
Main spell costs like no mana

Cons

Rather long CD on the closer early on
Relies heavily on Frost
Need to be careful until you get Giant's belt
Nearly helpless without mana
Close Range so easy to poke
Heavy on mana if you use Arctic Assault too much

If you'll notice I put basically everything into the Defense tree cause you really wanna capitalize on Sejuani's natural tankiness allowing you to stay in lane for a good while if you play carefully. The armor and magic resist along with your runes will make it rather hard to do much damage to you early on and you can do as you like as long as you're not under a tower. The extra bit on AD is to help with your melee attacks, AP is kinda useless on Sejuani as her ratios are kinda meh and her W scales off her health so there's no point in getting AP. Since Sejuani's CDs are relatively long, at lower levels the extra CDR can help with that.

So the Marks of Desolation help with your damage as your are a melee champion and you're going to have to rely on your auto-attacks to apply Frost so you might as well deal some damage too. The Seals of Resilience and Glyphs of Warding help with your survivability since all health and no armor and MR does you no good either. The Glyphs of Focus reduce your somewhat high CDs some more and the Seals of Endurance capitalize on your massive amount of health to further increase it. With the exception of the Marks everything is pretty much geared to help you survive the first 10-15 min of the game while you are still short on damage.

Starting items

There are a couple of things to start with
Doran's Shield - gives health, armor, and health regen but doesn't build into anything and armor is already covered by runes and mastery
Doran's Ring - AP, health, and mana regen useful as you'll need the mana
Ruby Crystal - almost 200 health, this is good as you can rush your Warmog's and you get a little boost to your W in damage

Mid-game items

Warmog's Armor - This'll give you the damage and the survivability you need to fearlessly run around with its max of 1350 health and 40 hp/5sec regen. Not only that but it'll give a huge boost to your W as well which is your main source of damage
Sunfire Cape - This things syncs really well with your W but the only drawback is that you can't attack towers with an enemy champion around as you'll get aggro
You can trade with off for a Frozen Heart if you want to get more armor and a AS slow on enemy champs not to mention a pretty big CDR
Ionian Boots of Lucidity - this'll give you more CDR but you can exchange for Ninja Tabi or Sorcerer's Shoes instead for more defense or more damage respectively

Mid-Late Game

Banshee's Veil - It blocks the first spell cast at you, it could save your life. The extra health, mana, and MR aren't bad either. Remember more health = more damage

Now for the last two items you have a choice between 4 items

Force of Nature - there's a lot of magic resist here and a ridiculous amount of health regen great for survival
Atma's Impaler - it gives you 2% of your health as AD, it would be disrespectful to not have this for the extra 100ish AD
Frozen Mallet - despite your already impressive amount of slow and CC, you're still rather slow at catching people like Master Yi so this is good for the further slow as well as a good bit of damage and health which then leads to more damage
Rylai's Crystal Scepter - it's the ap version of the Frozen Mallet basically, again the slow but this time for spells as you will be using your W almost constantly, the AP gives a boost to your abilities too.

Sejuani has some rather power abilities but the best one she's got is Northern Winds
Arctic Assault - This is basically a closer which you can use to run away from or get closer to your target/enemies Doesn't really do spectacular damage but does it in an AoE. Costs a lot of mana, try not to use it a lot. Max this last, the distance doesn't change.
Northern Winds - This is your main damage ability. Since it scales off your health your tankiness is perfect for it. Syncs with Sunfire Cape well. Does more damage to targets with Frost or Permafrost on them, a lot more. This makes it really bad for melee champions to get close to your since you'll be doing 150 damage per second. Max this first
Permafrost - slows down your target really more and deals some damage, great for keeping enemies within range of your Northern Winds, use it when you're fighting any number of enemies. Max this second
Glacial Prison - Your ult is basically an AoE stun that also deals damage with pretty good range. You can use it to initiate or to prevent your target from running away or to run away yourself. Level when you can

Once you get enough health you'll be able to kill a wave of minions with just your W. Usually around when you get a Giant's Belt or Warmog's. Just position yourself between the melee and the caster minions for max damage, since Northern Winds is technically an aura you can still use basic attacks. This is an easy to to get last hits, great way to harass against melee champions too.

Ignite - It does that last bit of damage that you just can seem to deal overall pretty standard
Flash - good for chasing if you somehow can't seem to catch up to someone like Master Yi, or to run away from a gank, use with your Q to get some real distance between you and them.

Useful
Heal - Always helpful for a tank to have that extra bit of health early on since you don't have the armor or magic resist yet.
Teleport - Lets you get back to lane faster for more exp and gold
Clarity - restores mana, your mana-starved until you get Banshee's Veil and sometimes even then so this can help sometimes