If you never played Shen before then is it the best to follow this build. I play Shen as tank in the early and mid game and in the late game you can play it as a damagedealer/tank. Don't look to the stats now i make some pictures and videos soon.

Vorpal Blade: Use it to heal your self, cast this skill on a minion and attackt it you get healt points after 3 seconds. you can use it to deal some damage on enemie champions or minions, you can deal a lot of damage when you have the Damage dealer build of shen.
Feint: When you attack an enemie or defend you allied champion you need to cast this skill BEFORE you attack, because it reduced damage for a few seconds.
Shadow dash: Use this skill as second to open the fight, shen dashes rapidly toward a target location, and taunting enemy champions he encounters. You can use it to for a clean escape with the summoner spell "Flash".
Stand united: This skill is the ulti of shen. When a allied champion is in danger and needs help you can cast this skill on the one that needs help, your target gets a shield that absorbing some damage.

Flash: You can use Flash and the skill "Shadow Dash" for an clean escape.
Ghost: As an enemy runs away, you can use ghost to track and kill your enemy.
Ignite: Use Ignite on low health enemies that run away.
Exhaust: use this item to slow your enemie. This will be easyer to kill him or use it for tank.

Play Video - Use Shadow Dash and Flash for a Clean Escape, Dash or Flash over walls.

- Play together with champion that can slow down.

- Use vortal blade on minion to heal yourself.

Play shen with champions that can slow enemies, like Ashe. When Ashe slows the enemie, you use Shadow Dash to Taunt the enemie and you can kill him when Ashe is slowing the enemie.

Buy on the begin Doran's Shield and 1 Health Potion. buy Ninja Tabi or Mercury's Treads, and maby buy some Health Potions when you return for the first time (or when you have enough gold for the items). When you return for the second time you need to buy Aegis of the Legion, this item gives you Health, Armor and Magic Resistance for you and your nearby allied. As you return for the thirt time you need to buy Frozen Mallet, you need this item because you slow enemies that you attack and it gives you Health and Damage. For the Fourth return you need to buy Atma's Impaler or Gun Blade, this item increased your Damage by 2% of your maximum Health and you can use gunblade to slow enemies. When you return again you have to buy Warmog's Armor, This item gives you 920 Healt (2% of the health = +19 Damage) and 15 health regen per 5 sec. If you return again you need to buy Phantom Dancer or Lich Bane, This item gives you more runspeed, attack speed and Critchange (Phantom Dancer. And Lich Bane Gives you Runspeed, Ability Power and Magic Resistance.
(I say it how many times you need because you only have to return when you have enough gold for your item)

Items:
Doran's Shield
Health Potion
Mercury's Treads
Ninja Tabi
Aegis Of The Legion
Frozen Mallet
Atma's Impaler
Gunblade
Warmog's Armor
Phantom Dancer
Lich Bane

Ki Strike (Passive) Play Video Vorpal Blade (Q Key) Play Video Feint (W Key) Play Video Shadow Dash (E Key) Play Video Stand United (R key, Ulti)
Not realy yet