Remember that Glacial Prison explodes at the end of its range if it does not collide with an enemy champion. This actually gives it additional range and capabilities if you wish to make use of of it. Sometimes you can purposely avoid hitting a specific champion to hit more targets overall.
Your Permafrost has a rather impressive 1000 range. Consider waiting for your opponent to use an escape ability before using it (As long as Frost is applied for up to 3 seconds, it can be used from afar). This allows you to close a gap when they least expect it. Your Glacial Prison can also be used to close the gap, due to it's similar ranged capabilities.
Frozen Mallet is typically the better choice, with a higher slow and bonus health, however Rylai's Crystal Scepter may be taken if you expect the need of another AoE slow source and higher ability power.
Buying a Sunfire Cape allows for continuous damage on enemies, used in combination with slows it can rack up a lot of damage over a period of time.
Much like Leona, building Sejuani as a full AP caster is not ideal due to her low AP ratios.
Randuin's Omen provides another extremely powerful active, as well as many of the stats Sejuani needs, and an anti-dps passive on-being-hit. This item is built from a Heart of Gold, another very useful early-mid game item.
Frozen Heart may be the most important item for Sejuani, as it provides a very large amount of armor and, more importantly, CDR, which helps deal with her very long cooldowns, on top of an extremely powerful defensive aura.
Guardian Angel is also a reasonable item for Sejuani late game given that her role in team fights is generally to charge straight into the enemy and hamper them with her AoE skills.
Ultimately, CDR is Sejuani's most important statistic to itemize or build for. Building an early Glacial Shroud and Kindlegem after GP10 items is arguably Sejuani's best early build. Also consider playing with a team that can allow you to take the second and/or third blue golem. This is ideal for before you gain the CDRrequired to combo your abilities efficiently.
Sejuani is very vulnerable when jungling early game -- particularly because her dueling capabilities are not very strong at this point of the game. However, since Sejuani is an extremely powerful champion when farmed for the lategame, consider trying to protect and look out for Sejuani if she is on your team. Try and make sure she can farm the jungle safely and come to her aid if she is caught out.
Sejuani is an extremely potent ganker once she hits level 4. Refrain from boldly pushing your lane if you believe she's reached this level. Even before level 4, her ganks can still hurt, so always have a ward in place to prevent getting jumped.
Once she has a few levels going for her Sejuani is a very proficient farmer, so it would be wise to try and stop her from farming too much throughout the game, or she may become extremely difficult to deal with/kill later on.
Glacial Prison is a very powerful initiation ability, and if multiple teammates are caught in it, it could prove a difficult recovery. Avoid bunching up while she is near and/or making yourself an easy target.
Once Sejuani catches you alone, escape is nearly impossible. Avoid invading her jungle if she's made herself difficult to kill and you are unsure of her position. Also, avoid pushing lanes by yourself if you are not certain you can kill her or get away, or of her location.
Sejuani is extremely weak at dueling other champions in the early game, but will become extremely strong if she doesn't fall behind. Due to being one of the most powerful champions in the lategame, it's important if your team can focus on shutting her down. Try counterjungling and playing safe so she can't gank lanes successfully. Coordinate strategies to keep her behind without farm. Take advantage of her glaring early game weaknesses.