It takes extreme prediction and, more likely, a lot of luck. If you're in the right place at the right time (namely, under a falling opponent in the helpless flashy animation) you're good, and you can punish some bad ledge recoveries with it.
From what I've seen Metaknight seems to have some trouble getting out of it. iirc his wings open up when he gets hit and I think they might have a hurtbox, so he becomes an EXCEPTIONALLY wide character when you consider wing span.
However, he and jigglypuff seem to be easiest to chainlock in my own experience, so it could be a floaty character thing.
I recall some talk about metaknight being unable to make it through sheiks chain. Is this still just talk or did I miss something?
The chain is a seriously underrated tool. Most characters (about 60% of the cast as an estimate) can't make it through good chainguarding.
In my rage at a Snake I developed an alternative method of chainguarding. Hold the joystick (lol. what a name) in the down+right position, and violently vibrate the controller with your right hand. If used for a chainLOCK, you will not maintain a good flow of hits and it will end prematurely, but for a chainGUARD, you increase the size of the hitbox and make the entire chain move faster, making it much harder for some characters (the ones that have a mild problem with chainguard, like ganondorf or falco).
Anyway, that's that. Sheik Guide complete revamp should be happening within the next few weeks.