For Shen you need to be able to survive long enough for your team to overpower the enemy.
Starting with ruby crystal is good, build that into phage, levi, or heart of gold.
Reasons you don't want warmogs:
1. Too expensive
2. Insufficient gain for cost
3. Much better items available
Look at the enemy team, lots of magic dmg? Then you get Force of Nature. Lots of AD? Get sunfire capes.
The importance of being a threat:
If the enemy ignores you and kills your team, you fail. You have to initiate with dash, and quarterback ur team to victory. Call the shots, focus him, don't greed chase etc. Map pings are your friend. Communication is key.
Summoner spells, cleanse and ghost.
Runes, Armor pen marks, dodge seals, -cd glyphs, and flat hp quints.
Typical items I'll have by the end of the game:
-Ninja Tabi/Merc treads
-Force of Nature
And if it's late game and you still need items....
-more sunfire capes!