Buy health regen at the start!
I hate seeing a shen buy a giants belt and boots at the start, and then go on to complain about how they have too much poke. You just become a liability that isn't contributing when you're sitting around at 1/5 hp.
Enemy team had 3 ranged poke and 1 ranged AD hero...
He did, of course, die repeatedly because he had no regen.