Triforce should be your main damage/utility, for the Sheen and Phage Procs. Buy early HoG and Philo for the gold and sustain, pick up an Aegis for mid game if your support doesn't (not a bad idea to get another one anyways, the aura is strong).
You'll eventually want a Maw (build a Hexdrinker early if you need to) and a Frozen Heart/Force of Nature. End up with Triforce, Shrelia's, Randiuns, Maw, Merc Treads, Force of Nature/Frozen Heart.
Atk Spd Marks
Armor Seals
MR or Cooldown Blues
Movement Speed Quints
To be honest I haven't played much Hecarim but this seems to give him enough tankiness while also staying mobile and outputting damage/utility with Triforce. Triforce is your main/core item so grab it after GP10s.
EDIT: Switch out the Maw for Force of Nature if you need to be more tanky because Maw doesn't always work out and it's nice having both Frozen Heart and Force of Nature.
IMO the tank route does not suit Hec best. You want to be tanky but also do more damage. The goal is to be the biggest disruptor and to hunt their carries in a team fight. Secondly do not initialte in a team fight, the ult is best used to stop the other team from regaining their composure during a fight or stop big ults like Galio/Nunu/ Kat.
His best role is jungle for his ganks and ability to move distances and to catch warded lanes with his speed.
Summoners: Ghost, smite. Ghost also serves as an AD steroid with his passive.
Move speed quints, armor yellow, magic res blue, ad red
Building I go:
Cloth-pots to start.
1st B- boots, razor
2nd B- Merc treads -Wriggles. Jungle is now easy clear you can stay out as long as you need.
Next build phage for the proc and health, then build Wit's end. Wit's end increases the procs and gives you magic res. After that fininsh trin force. The sheen proc gets a lot of damage from the charge as your AD increases with movespeed. Great to run in and do damage.
Next you get either giants belt if you arn't doing well or get brutalizer if you are doing well. If you got giants belt thenget brutalizer and vice-versa.
After brutalizer get sunfire cape the Yomuus. This is the late game fear nothing point. You can use Yomus and ghost with charge and sheen proc will do about 40% of any carry. Also with the cool down, sunfire and W you should spam Q in a fight to get massive health back in a fight. Ult in to disrupt them then with W and Q and sunfire keep getting health and use ghost and active for more AD and charge anyone retreating.
Last item is situational but I like to get bloodthirster or GA.