Destroy his shield.
Don't let his axe bone connect to your FACE bone.
Early on just avoid him in lane
Get back whenever he gets closer.
Seriously there are very few champs which can come out on top
against a good AP Sion at low lvls.
Call for ganks.
In Russia, you don't counter Sion. Sion counter YOU!
Banshees Veil, cc, silence, breaking his shield.
If you are having problems with sion then it's most likely due to lack of MR. Most go straight AP and this really negates their offensive ability.
MOST sion players tend to push the lane a lot, so hes very easy to gank
Call for ganks, kite as best you can and hope he is bad.
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