You shouldn't build Rylai's Crystal Scepter on Nunu; slows no longer stack.
I would recommend Rod of Ages or Liandry's Crystal Scepter instead.
I would recommend focusing on utility with your tank build. I would recommend trying something like the following:
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Tank Nunu is essentially a tanky little bugger who runs between his carries and the enemy team, spitting Iceballs and slapping them like an annoying little jerk. You want to distract and inhibit people, to make people focus you, so that your team is free to do their jobs while the enemy team is busy dealing with you.
Cinderhulk and Sunfire Cape provide waveclear and constant damage while you are within the middle of the enemy team, allowing you to deal a significant amount of damage over time while you are being ignored.
Frozen Heart will reduce the attack speed of the enemy team, lowering their DPS while you are alive and sitting on their carries. In addition, it provides a nice amount of mana and CDR so you can use your abilities more frequently.
Locket of the Iron Solari increases your team's survivability while you are alive and helps protect them.
Thornmail punishes the enemy team when they decide that they HAVE to kill you to remove the benefits you provide for your team and to stop you from distracting or weakening their carries. It helps you duel autoattack-focused champions too.
Spirit Visage provides some additional healing and CDR while rounding out your defenses.
Also, I would recommend using Grasp of the Undying if you are playing him as a tank. It provides a nice amount of damage and sustain to make you a little more annoying.