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Generally I will ask my support whether they're building Aegis or Locket (or both). Normally they do build both, in which case:
Same as you > Warmog's > Sunfire > Randuin's > Situational (Liandry's/Abyssal/GA ... etc.)
The only thing the build really lacks is MR. If there's a fed AP on the other team I'll pick up a Spirit Visage somewhere in there and maybe Mercs (for the MR, not the tenacity). Otherwise, the ~5k health is good enough (assuming there aren't like three Liandry's on the opposing team).
Edit: If we already have a Randuin's on our team and it's late game v.s. a heavy auto-attacking champion (e.g. Trist/Kog/Vayne/Jax ... etc.) then I will pick up a Frozen Heart, although I don't think it's a particularly good item on Sej. Also, if we don't have a Shurelya's and I picked up an early Philo for some reason, I may consider purchasing it.
Another possibility is Frozen Mallet since her passive has been changed and it gives a boatload of health, although the AD isn't awfully helpful and it's hard to justify the price.