[I don't know how much experience you have, so I'll just throw even the basic stuff I can think of in here. I'm not trying to sound patronizing, I promise.]
Anti-sabotage stuff first (cuz I main Spy, so that's what I know best):
Greet EVERYONE walking toward your sentry with a wrench to the face. For safety.
Don't get caught with your back open while you bang on your buildings. You will get stabbed. Pop up every few seconds. Tune your ears in to the various uncloaking noises. They're quiet (except the DR), and if you learn to listen for them you can save yourself a lot of grief... and anger a lot of spies.
Don't be afraid to request Pyro assistance if your sents are getting Sapped all the time. Sometimes they will be. Your buildings are nearly always in the top-3 of our assassination list.
If you are trying to save your buildings from a stock-sapper-spamming Spy, but cannot kill the Spy, you're gonna have a bad time. Sappers have no CD and will damage your buildings faster than you can knock the sappers off and repair. Even if you are on one end of a Tele and the Spy is sapping the other end, unless that Spy dies, the tele will go boom. Against a full nest, it's worse-- we'll just strafe and spam sappers on everything, and laugh with glee.
The rest:
Building priority will change depending on the situation. Don't forget to build Teles, even if you can't upgrade them right off. Especially on PL maps (not so much on 5cp maps, since spawn can change so often). A Dispenser is an awesome thing to have as a fallback point/staging area. Even if it's just Level 1.
Jag isn't worth it. You should be beating on your buildings to help them construct faster anyway, and the stock wrench hits much harder. That being said, when you put a building down, don't just stand there and stare at it. Hitting it with your wrench makes it go up faster, for 0 metal.
If you're an accurate shot, the Widowmaker is boss. Widowmaker + Gunslinger = battle engi. I'm not much for the Wrangler, but used correctly it's very very powerful, even with a mini-sent. Also, Widowmaker + Kritz = infinite ammo.
Widowmaker is a decent (but expensive) spy-checking tool. If you shoot someone who is acting suspicious, and you get metal back, he is a spy. Kill him.
Oh, apparently the Gunslinger crits every third punch. Don't be afraid to melee with it if you must.
Mini-sents are awesome. They're annoying, they sting, and if you place them well you can severely change the shape of the map. It's not the hard wall that a Level 3 sent is, but it's fast to build and it hurts. Also, they are awesome against scouts.
That being said, when you run Slinger, learn when to place your minis aggressively, and when to use them behind the front line as support.
Final note:
If you're ever in a game with me (XAE), during setup I will switch to Engi and help you upgrade your buildings at spawn. So drop a Tele Entrance and run off to place your Sent.
ps- the Pomson is lame and makes baby ducks cry.