Maybe I am playing him like he can soak up tons of damage (even though he can't)

Yeah I think he's only good late game, but I can never get there because I suck so bad at the start

AP Sion's niche is, in my opinion, the early/mid game. Especially if he's able to get a solo lane. It's all about understanding your shield's limits and not overextending since aside from his stun he doesn't have any way to avoid ganks. Depending on the squishyness of the enemy and what items you've amassed is what your late game presence would be... but then again that's the same for most champions.

If played right, Sion can pretty much shut down most champion's early game.

As for a skilling, I like Girlstar's AP Sion order where you focus on shield and stun exclusively til level 10. Even getting Enrage at 11 and onwards, it's not so difficult to farm a ton of HP late game.

Just going to throw this out there. Testing out replacing Lich Bane with Deathfire. So combo would be deathfire ---> stun ----> shield. Give that one a shot, perhaps.