I think Exhaust is more relevant at all stages of the game.
I run Windspeaker's on most of my Shield Mages. More reliable than counting on your ability to harass to make use of Thunderlord's or DFT.
When I picked up Orianna, I was already well acquainted with Janna and Lulu. So I ended up playing Orianna much like Janna, which is more entertaining even though she lacks the same level of peel.
Something worthy of note is Orianna does additional magic damage with her AA, so harassing with basic attacks is preferred. Just remember to duck into bushes to break minion aggro and harass whenever their ADC is trying to last hit. Chances are you will be shielding yourself as much if not more than your ADC.
That of course assumes you are in a lane that you can be aggressive. Some ADC/Support matchups you will simply have to fall back on protecting your ADC with your shield and using your ball to zone after hitting lvl 6.
You won't be able to spam your W for harass. Eats too much mana. Maybe if you rush Catalyst for RoA after Frost Fang. That puts off building your boots (CDR+MS) though. You'll have to judge how well your lane is going to decide if this is good.
The order of what you buy really matters. If you are pushed in, Sightstone and Boots can wait (unless you want the CDR boots). If you are pushed out, Sighstone should be picked up first. Generally aggressive play will mean you will end up picking Sightstone, Frost Fang+Ionian or Nomad+Idol. I like running the Nomad+Idol because that's 20% CDR early on with no hurry to complete Oasis (which could be upgraded to Talisman instead if you want a speed boost active).
I noticed Swift boots got nerfed a tad. That makes me second guess the value of picking up Athene's for the other 20% CDR, though I suppose I could always pick up Tabi or Tread instead of Ionian. Another of those decisions to be made as the game progresses.
In general, don't worry too much about 5 or 6 item builds. If both teams are playing correctly, you'll either win or lose before you get the gold for full builds as a support. If the game really is pushing out to the point that you can drop your gold item for a deathcap (something you can't do if you made your gold item your sightstone), it might be worth it.
Orianna. It confused me that they didn't build AP. What should you build to be a really good Orianna support? Most of the items they got were like:
(AP) or 
(AD) with a 
/
?
P.S. (I DO know that you go over Max CR amount) You probably wouldn't build 
with a free slot.
or should i have 
instead of 
