How you build him will depend entirely on what type of team you're using him with. Personally, I'm lucky enough to have two of them. The first one I built to use on my speed nuke team, where I run Maulie, so I don't need him to be at all fast. For that one, I'm using a Destroy set, but that's mainly because it's just the best gear I could find - though I won't deny it does come in handy from time to time. That version has 30K HP, 2.5K DEF (just randomly through substats), 6.2K ATK, 121 SPD, 95% CR, and 253% CDMG.
The second one I built to use on my go-second team. He's quite a bit faster, and running Savage gear. Stats are considerably different too. He's also only running 30K HP, but he has 3K DEF and 200 SPD. In terms of offensive stats, he's running 5.2K ATK, 86% CR, and 203% CDMG.
In terms of what sets are useful - Lifesteal I would 100% not bother with. Sure, once in a while it will win you a fight, but otherwise it's pretty useless. Relentless is cute, especially those times you start just endlessly chaining attacks with his A1 - but I dislike relying on low-probability effects.
Personally, I'd just focus on stats for now. Don't worry too much about set bonuses. Eventually, Relentless, Avenging, Retaliation, Savage, and Destroy are all worthwhile 4-piece sets for him.