Didn't play him much yet, but I always felt like Triforce gives all Hecarim ever needs. Just get Triforce and full tank items and you're ready to go...
What items do you get for him?
Triforce may give him a lot of what he needs, but they're all too thinned out imo. IF I do get it, it'll be an ultra late item, but if I do, that means I'm stuck with it's low tier components for a rather long time. My Hecarim is kinda squishy whenever I try to get Trinity Force.
Generally after boots, I try to rush for an Aegis, it provides both MR and armor to last be for a while. Afterwards I go for a Brutalizer, and depending on my situation, either a Spirit Visage or upgrade to a Youmu's ASAP.
Afterwards I build tanky while working up a Frozen Mallet. FoN for MR(since it also gives a little MS) and Randuin's or Frozen Heart for armor.
I am considering a Phantom Dancer to see how it goes for him when I have the chance. Something tells me it probably won't work out all that well since he needs to be tanky. But...I haven't had a chance to play in 2 whole days thanks to whoever screwed the client up. Yesterday it was offline and today there's a 2 hour queue time.
It pisses me off that Sheen has only Trinity Force to upgrade for if you're AD, because it's the sole reason why his Q exists, to proc it.