I love telling this story XD, I was once very much like you, before I got into the competitive scene I was really good, I never lost, i do mean I NEVER lost. In fact It got so boring I stopped playing all together, until I learned that there were techniques I didnt master yet, like wave dashing and stuff, and that there were tournaments even! I got really excited and started practicing them all, incorporating them. I was link main with sheik as a secondary. But my style was so developed that I actually got worse, so I decided I wouldnt use them until I found a way for them to flow into my style.
Flash foward about four months, I have practiced all the advanced techniques, I know how to do them on a whim, I just dont becuase I cant incorporate them into my style right. Im at an anime convention melee tournament and Im playing friendlies as sheik. and suddenly I get pinned down and i was in a situation I couldnt get out of and I WAS going to get nailed with an attack, and then it hit me.. Wave dashing! I realized I could wave dash out and then run back in after his attack during his lag. And I did it perfectly since I had been practicing, after that I started using wavedashing just a means to escape with sheik, over the years it grew and now I can incorporate into my style no problem.
But you should know, that while wave dashing is very useful, sheik is not a character that can use it as well as someone like marth or fox. Before you get down wave dashing I would say focus on just l-canceling, thats more important by a long shot for sheik, in fact, as a sheik player wave dashing would be fifth or so on my list of advanced techniques to learn, I think I use wave landing more than sheik than wave dashing (These are essentially the same technique)
For a sheik main
1.L-canceling
2.Chain grabbing using JC grabs (One of the easier techs to learn)
3.Edge hogging techniques
4.Ledge hops
5.Ledge stalling techs
6.Off stage game development
7.Wave dashing
Haha after thinking about it most techniques are more important than wave dashing for sheik. you may have some of those developed already, but as a player who mains sheik just as much as I main link those are the things that I would learn first.
And oh yea, its worth it. as for finding tournaments go to regional zones and check out your region.