First, pick ZELDA on the character select screen. Next, pick a stage. When you spawn, hit DOWN and B on the controller at the same time. 
Alternately, holding Aon the stage loading screen will also work. Once that's completed, read these guides:
http://smashboards.com/guides/categories/sheik.41/
Alternately, holding A
on the stage loading screen will also work. Once that's completed, read these guides:http://smashboards.com/guides/categories/sheik.41/
