Really? They only refer to Sheik as a him because they don't know who it is, and (s)he looks like a male. However, I'm not saying it's a her as a fact. After all, the official term is he/she/it/potato.
However, there does seem to be a kind of magic involved in the Zelda/Sheik transformation. This is because of the different build, hair length, eyes and such. Well, anyway, people will always argue over that. I think it's a she, because it is Zelda after all. All she does is changing her appearance.
Side note: Also, the name is spelled Sheik, NOT Shiek! Please! (not directed to you, The Inker)