Well, I don't speak Japanese, but I have a reasonable idea of its pronunciation. The "ei" at the end is simply the sound represented by "e" followed by the sound represented by "i". Wikipedia says "e" is pretty much like the "e" in the English word "ten" and "i" is like the "ee" in the English word "tree". I imagine that "sensay" is close enough for an English speaker. Maybe it is important not to mix the "e" and the "i" into each other though...

The Count: Nice links. On the Japanese Pronunciation Page that you linked, however, it says that "ei" actually represents the long "e" sound, and so it is really sen+se+e (where all the "e"s are like the "e" in bed). Therefore, I think "sensay" is definitely wrong.