I wrote a fairly long post about the Marth-Sheik matchup in the smashbros subreddit. I'll just copy paste it here:
Stay grounded. If there's any matchup that really exemplifies the "don't jump against grounded opponents" philosophy, it's Marth vs Sheik. Nair in particular is a move that you'll be punished for more often than not. Fair is a little more viable, but I'd still recommend being careful about using it. Your main tools in the neutral game should be a mix of dashdancing, walking, wavedashing, dtilting, and grabbing. Out of those, grabbing->upthrow is generally the main goal. The others are means to that end more than anything else:
- Dtilt makes it harder for Sheik to stay grounded and can lead to a grab sometimes.
- Wavedashing, walking and dashdancing are all used for regular spacing purposes.
- Dashdancing covers much more space than the other two, but it makes you unable to dtilt (unless you can pivot dtilt, which is extremely difficult to do consistently), which makes it more difficult to challenge Sheik.
- Walking is slower, but lets you do any move you want at any time, so it's a lot more versatile than dashdancing.
- Wavedashing lets you cover space faster than walking does, and leaves you with more options than dashdancing does, so it's a bit of a multi-purpose move. WD down -> dtilt is great because you can do it out of a dashdance and it's almost as fast as a pivot dtilt. WD back -> grab is a cookie cutter punish against predictable/poorly timed approaches (generally dash attack in Sheik's case).
Once you've gotten her into the air, you want her to stay there, because you have far more freedom in that position, and Marth's juggling game is ridiculous. You generally want to be right below her and juggle with well timed uairs and uptilts. Having Sheik diagonally above you is usually not really a big deal because you still have a massive positional advantage, but it does open up for fair/bair/needle shenanigans. If she's directly above you then the only attacking options she really has are nair and dair, both of which lose outright to both uair and uptilt.
Sheik will obviously do everything in her power to get down, so be aware of all the options she has at any given point. If you're too eager, a well-timed air dodge or DJ from her side can get her back on the ground and reset the position to neutral.
Speaking of her DJ, if you can bait it out and send her back up again before she lands, she should pretty much not be able to come down again at all for the rest of the stock (at least not without taking a ****-ton of damage first) as long as you time your juggling moves well. At some point you may want to start sending her off stage, but that largely depends on the situation, so it's hard to specific about it. As a rule of thumb, if a strong move (like a nair) will send her far enough to force her to use ub-B, go for it.
Ken combos and tipper fsmash finishers are also available, but they're far more DI/situation dependent than juggling, so view them as opportunities that you'll capitalize on when they arise, rather than something you need to try to force out of every combo. Marth's punishment game is a bit different from the other top characters in that regard.
Getting grabbed by Sheik blows, particularly in NTSC. There are a bunch of ways to reduce the damage dealt to you, such as mixing up your DI, DIing to a platform and tech/techroll unpredictably and so forth, but at the end of the day, the best advice is to avoid getting grabbed in the first place. As a rule of thumb, if you have several DI options and the choice is between 1. taking a lot of immediate damage but increasing your chances of resetting the position to neutral, and 2. reducing the amount of combo damage taken but remaining in a ****ty position, you generally want to do the former.