Just a guess: Warmog is expensive. As Shen even if you aren't killing you should be getting lots of gold from assists: were you?

Your main skill is that rush taunt thing. That skill can ruin people's days and net you lots of assists.

Warmog's really isn't that good on Shen. He doesn't farm up enough minions for it.

My typical end build is Aegis/Omen/GA/Atma's/Leviathan/tabi or treads

I do not like warmogs on shen. I usually start with ruby crystal, since vorpal blade is enough to keep me in the lane unless I'm against 2 ranged, then it's a doran's shield. After that it's merc treads (99.99% of the time), then it's aegis (typically), phage, and then other goodies.

I tryed a build a little different recently and that workd well =) :

1) cleanse/clairvoyance ( I love clairvoyance ;D ) + smite !
Yeah I went jungle since lvl 1 with the dagger.
2)
- ( Amplifying Tome )
- ( Basic boots )
- ( Giant's belt )
- Rylai's Scepter
- Mercury Threads
- Aegis of the legion
- Randuim's omen

The little AP boost makes you a very good jungler, gives more shield with your self one and the ultimate, and makes the dagguer deal a little more damages. The slow is very nice with the dagguer =).
And it gives you HP ( 500 Rylai + 270 Aegis + 300 Randuim's Omen = 1070 HP, this is nice ), Support with the Aegis, physique and magic resistance for the Omen.

Try it, you'll see

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
-Phage/Frozen Mallet
-Force of Nature
-Sunfire Cape

And if it's late game and you still need items....

-Atmas Impaler
-Randuin's
-more sunfire capes!

This has been my best all around build for Shen. Gives solid team support and can survive just about anything while dealing relevant damage.

Try:
Aegis
Ninja or Merc's
Heart of Gold
Sheen
Phage
Force of Nature
Trinity Force
Randuin's

Runes: Movement Quints ArPen Marks, Dodge or MR/Level Seals, and MR/Level Glyphs

Have rarely progressed past TriForce.

Generally face well rounded teams so load up on both MR and Armor, if the team leans one way or the other can stack towards that more by your boots choice and by taking a Thornmail instead of Force of Nature or taking a Banshee's Veil instead of the Randuin's.

If the game goes really long I'll usually end up going for a Youmu's or Last Whisper to end the game with a solid tower push.