Sheik's ground approach is a bit limited, but Sheik's aerial approach game makes up for it.
Let's go through the options:
Dashing - Fairly limited in its options, but here they are
Dash attack is out, as it is too laggy.
Hyphen Smash is out, as it is too laggy.
Vanish can make for a nice feint, but rarely actually accomplishes anything.
Dash grab (dash shield grab is the best) is a good option.
Shield-cancel the dash into a Downsmash is a good option.
Chain can be good if they're expecting the dash grab and Sidestep, or if they're expecting a Dash attack/Hyphen Smash/Shield-cancel Dsmash and shield. Not so good if they're expecting the chain, as they can either jump or roll behind you and punish the lag.
Walking - Probably preferable for Sheik, due to these options
Ftilt is great
Jab is good
Utilt is good
Dsmash is good
Fsmash is out, as it is laggy
Usmash is out, as it is laggy
Shorthop - Sheik's best approach option
Fair is great, can land with almost 0 lag into anything Walking can do
Nair is good, if you leap the strong hit into their shield you can back away before they can grab. If you do the strong hit early, the weak hit has great setup and no landing lag
Bair is great, it's like Nair, only with HUGE range.
Chain can be started low to the ground to throw people off and catch them in shields or spot-dodges.
Fullhop - Iffy, but there are some options.
Fair/Nair/Bair can be started low to the ground for a mixup
Dair is a possibility, for mindgaming, but not recomended
Needle from fullhop has no lag, can make for an OK approach option, but not fantastic.