Arctic Assault provides a lot of utility to Sejuani beyond its damage output. Use it to escape bad situations, interupt channeled spells or chase runners.
Permafrost has a long range. Saving it until an enemy attempts to escape with a movement ability can allow you to catch back up to them while they're slowed.
Save Glacial Prison for encounters where you have teammates present to take advantage of it.
Dodging Arctic Assault and Glacial Prison can give you a huge advantage. Master using movement abilities or Summoner spells like Flash when Sejuani tries to engage.
Stun, slow, or knockback Sejuani when she activates Northern Winds to reduce her ability to deal damage with it.