I've been playing Olaf a buncha recently, so I can give a few tips on how I play him.
The general idea is to build extremely tanky, I mean get that Wriggles asap, then rush that Warmogs! The idea behind this is you're ult isn't ment to make you hard to kill, it's to let you use your other moves with no harm, as you're a melee champ man, you don't got a gap cloaser, you even got a slow movement speed, but once you in the thick of it, you can just beat them down! Since E does unscaleable True damage ,it's your big hitter, and your consistant damage, it lets you hurt everybody the same, and the only way to make use of it, is to not die. You're not the best hit and run guy afterall, I normaly Jungle Olaf, as he's pretty decent with it, and oncey ou have a giants belt you'll be running into ganks at half health, only to walk out agian...at about half.
A big thing to remember here is the ideal situation for olaf to run into is anything he can simply run in to. If you can't srug off a few tower hits, don't run under a tower, but if you do run under a tower, and you can take a beatin, pop that ult, and just chase them down.
Landing your Q is the hard part at first, and generally in't your main damage, it lets you chase someone donw, deal some bonus damage in a fight, but your E and W are the moves that take people down, as W scales with health, as does Atmas which you'll build eventually, you can get really strong while building items that let you use theses moves ina fight often.
I normally go for Trinity Force instead of Frozen Mallet, as the Mallet is near the same cost for a much smaller benifit, and grabing a Force of Nature is always great, it allows you to heal, resist the magic dealing pricks, and lets you chase people without having to throw a Q every second. And with it your E is basicly Free, but it nearly is anyhow.
And by Tanky I mean Damage wise, pure health style with some resistances and regen thrown in. You're not going to be taunting them wiht CC, they should know that Focusing you first is bad because you won't be stopped and will deal more damage as you get low, and you'll outlast the first burst wave. And focusing you last is bad because if everybody is at low health, probably no mana, you'e got the advantage hanks to your W and E, the E also gives you a big advantage against tanks who stack more armor than health, or have that healthy mix that doesn't help as much anymore.
Blood Thirster is always a decent item, but it should only be obtained after you can wade in, take damage from all the dps and tower, and still wade out with Ease. Of course aim for the ranged carry first, as they can keep the damage up forever, compared to say, a caster or something. Malzahar and WW will hate your ult, Urgots ult still works on you, altho you won't be supressed during anything.
Randuins is great, but a later item for me, I'l lbuild a heart of gold early if I like however, say I can't cet that full Warmogs yet, as warmogs early helps you simply tank all the damage as you all hit towers down to a pulp.
Last things I can suggest don't worry about items that break CC like Quicksilver Sash, I love the item to death after it saved me countless times form a Morde Ult and Skarner ult, but Olaf doesn't worry about Cc, he worrys about catching them. If your enemies are building Boots of Swiftnes, or Phantomdancerrs, you'll need that Zeal/Trinity to catch up, and Force of nature as well! If they can't run away from your E, they can't stop you!