I generally Max Q and then W for skill wise, and like predicted I'd start with Dorian's Blade + pot for starting. I actually play Kennen a lot and consider him one of my mains as well. I either play him Mid and go all AP, or go top and go pure Tank or Brusier based. Like..
When I go mid I usually get Zhonya's, and Abyssal Scepter (depending on match up) and then get Void staff and Rabbadon's. Try to get as high AP as I can so that when I go in to team fight, I can basically almost kill the entire enemy team by myself. I've gotten a few penta's already and even jumped in on the enemy team one time when they were doing Dragon and tried to 1v5. I ended up getting Drag and a Quadra but died at the end.
However, I generally build tankier when I go top lane due to the difference in who I'm facing, and the fact that I went top means we are losing out on a tank some times. I either go Brusier Kennen where I go Zhonya's/Abyssal Scepter, and then go into Rylai's/(Randuin's or Banshee's Veil).
The other way I some times build Kennen is pure tank Kennen, where I rush Sunfire/Banshee's Veil, and then Randuin's/Warmog. Tank Kennen actually still does some very decent amount of damage. I've had people hate me so much when I was going pure tank Kennen because we couldn't kill each other and the enemy laner would reply with "The most boring top lane I've ever played lol.." and since you're so tanky, you don't need to buy a Zhonyas making it much easier make sure everyone stays in your ultimate and you get the full use out of it.
Although I do have a lot of fun with Tank Kennen and I know from experience that it can work, just some lanes you might want to make sure you go damage lol.