Only if you make it safe to transform.
...and then following that, only if once you are transformed you can get the kill without taking extra hits and percentage then you would if you were playing Sheik.
If you're on a good run, and you are owning with Sheik, you don't always need the extra power to get the kill. If the speed is working for you, stick to it, you'll kill them eventually. If it's Snake or Wario however, and you're having trouble killing them with smash attacks, then it's time to change to Zelda.
...and as an extra bonus, when you transform back into Sheik after the kill, all of your damage and knockback deterioration has been wiped away.