Ok here is how it is, i've seen alot of shen's that stacks warmogs and i think it's wrong si i'm going to tell you today about what masteries to use, when you should play him, what you should train and of course what items you are supposed to buy.
This build is not done i will update it as fast as i can!

How you should build against diffrent teams

Ok there is alot of diffrent types to build for shen as a tank, if the enemy team has alot of magic damage i would not say that you should buy thornmail coz if so it is a total waste.
If the enemy has : Ramuss - udyr - malzahar - tryndamere - olaf i would prefer a build like this: Aegis of the leagion, ninja tabi, thornmail, guardian angel, sunfire cape, rainduin's omen coz that team has alot of ad so you should not go for alot of magic resist.
But if the team has alot of magic damage like this team : Kassadin - nidalee - malphite - mordekaiser - twitch i would prefer a build something like this : aegis of the legion, mercury threads, banshee's veil, randuins omen, sunfire cape.
There is folks that are pretty smart and take a balanced team to mess up for the other team like this udyr - janna - amumu - ashe - nidalee you should build something like this : aegis of the legion, mercury threads, guardian angel, banshee's veil, randuins omen, sunfire cape.
That is it about how you should do against team setups i will not continue and talk about the items what they are good for etc.

Items, and what they do

Aegis of the legion - aegion of the legion is a very good item and it is good for almost every tank it supoorts your team massivly and also yourself i think it is the greatest tank item in the game and every tank should use it.
Mercury threads - mercury threads is awsome against casters and crowd controll that many teams have mercury threads are a pair of great boots for shen and makes a great combo with trynda.
Ninja tabi - I don't see ninja tabis as some great boots such as mercury threads but they are fairly good against hardcore ad team and fits good with the mastery nimbleness.
Guardian angel - guardian angel is a great item for shen you don't ever have to be afraid of the other team and can engage as hell, you should buy guardian angel kind of early into the game, your team will thank you if you have guardian angel.
Banshee's veil - banshee's veil is a great item for every class and also for shen i love banshee's and that's it i have nothing more to say about it.
Randuin's omen - Randuin's omen is also a great engage item such as guardian angel, as fast as you jump into a team fight use randuin's omen coz if so it is gg.
Sunfire cape - Sunfire cape is a oldschool tank item that has ben good for ages and i prefer to buy it.
Thornmail - thornmail is great to fight champions such as trynda they will eat themselfs if they attack you.

Last words about items : Items such as warmog's armor and force of nature i think never should be bought to shen shen does never need health reg he fights he dies he fights he recalls.