First, I thank anyone you has actually decided to read this, Secondly I hope that you find this helpful this is how I play Sion. Lastly, I am always up for some criticism because some people just know Sion better than I do.

Ok lets begin this.
The Items I choose and stand by are [*] Ravenous Hydra [*] Bloodthrister [*] Blade of the Ruined King [*] Frozen Mallet [*] Furor [*] Zephyr [*] Phantom Dancer [*] Berserker's Greaves
Now I choose these because most of these have life steal and life steal goes amazing on Sion because of his damage, and plus most of these either do damage or make it to where he deals damage faster. But some people would think that this build is stupid because there is only one health item built into it well I'll be getting there.

Now for my skill sequence I chose my E first then my Q then my W then maxing my E as fast as possible because of the damage, but I always take my ultimate at levels 6,11, and 16.
The reason I take my E first is for the AD boost, but I also, take it because the faster I max it the more health you get per minion kill and champion kill so you can easily gain lots of health if your E is active and you are just farming. I take my Q next because it is my stun so just in case I'm low on health and my being chased I can stun them and get a better lead and also if I want to do more damage to the enemy I can easily do it with my stun.

To me Sion's most unique skill is either the exploding shield or his ultimate which when it is completely maxed you get 100% life steal and 50% attack speed for I think 12 seconds.

Farming with Sion isn't necessarily hard it is pretty easy because his E has a lot of extra AD early on, but with each hit you lose health, but again you gain health with each kill while your E is active. Make sure to farm effectively with Sion because the better you are at farming the more health you can get and it is possible to get over 4k health with no health items on Sion, but it will take quite a bit.

If you are playing Sion and you are in a Team fight I suggest you focus the ADC and pick off the last few now if you are Sion it is possible for you to initiate because if your ult is up you will have insane life steal and you can literally just walk up and recover like over half your health with enough damage, but if you don't initiate you can easily stun their ADC for 1.5 seconds and get to them and start hitting them now if you have enough Attack Speed and your Frozen Mallet you can easily perma-slow their ADC and then after killing their ADC you just need to focus other high damage dealing targets.

Now for Runes I chose 9 Scaling Attack Damage Marks for a lot more damage, 9 Scaling Armor Seals, 9 Scaling Magic Resist Glyphs, and Either 3 Scaling Attack Damage Quintessences or 3 Life steal Quintessences.

For Summoner spells I go with Flash and Ignite
Flash for another escape method other than your stun
Ignite to secure a kill or two.