If you main Sheik, don't give her up. But at the same time don't feel like you need to main her. If you like that character a lot, you'll stick with them no matter what. I have no idea why I bothered using Toon Link, Falco or Ike in the first place. I do play as them some times, but not as much as I probably should. Well I was playing as Toon Link a lot this week, so that might be why I did fairly well. Still, don't give up on your character because of what flaws they have.
Getting good online would be nice, but it's not necessary. The reason I say this is because being the best online doesn't technically make you the best offline. Personally I prefer offline matches. Anyway, Sheik may be weak, but she does have good combos and as you said, she's fast. Her projectile is a plus, too. Not to mention, she can stick to walls which is very cool. I wanted to try out Sheik, but for some reason I never got around to using her.
Anyway, accept your characters strengths and weaknesses. My biggest weakness with Ness is his recovery, but I still main him nonetheless simply because I like the character just because. Here's a fact about me. I never liked Ness back in SSB64 and never intended on playing as him. Why did I start using him? I really have no idea. But I decided to play EarthBound, the game Ness stars in and I don't like RPGs one bit. So Ness + RPG = ftl is my opinion. At least that's how it was until after I played through the whole EarthBound game.
Anyway, don't be depressed. Don't give up on that character. Your Sheik is good and can only get better. :3 Follow up on techniques for Sheik, too! You don't need to learn every single one, either. So yeah, don't be depressed. Being depressed won't help you in matches because you'll feel down. So cheer up, ReoZeo! :D I may have not been satisfied with the matches, but seriously, I should at least be happy to have fought a challenging opponent. So thanks. Oh and sorry for the long conversation. ^~^
Well i'll see ya online buddy! 
