If you look for a method to transform to the other character easily without an easy possibility of getting hit (therefore, you don't get vulnerability frames which your opponent can use), use an edge. It's rather simple, just let go off the ledge (press down or away from the ledge), then transform, then use your recovery. If you did it right and without doing a fastfall, you should now sweapspot the ledge you fell off from, being the other character. Pretty **** useful, especially if you main Shiek, used Zelda's recovery to get back in and want to transform back to Shiek without getting yourself in danger because you're too lazy to practice with Zelda (aka if you're me).
If you just need handy uses for Zelda: Recovery is always great. The other two special attacks are also useful; while the fireball works perfectly to attack cowardice opponents (happens to me from time to time since I like to play on temple - yeah, that's right!), then run and transform if they come back to get you. Nayru's Embrace is a handy tool if you can plan it's uses beforehand... which will rarely happen, so better don't transform back to use that attack... basically, transforming to recover is the only thing you should do if you can't lay with Zelda on a as-much-as-Shiek-professional level... the same applies vice versa, of course, in case you main Zelda.
There's a tutorial video for Shiek that shows her transformation abilities right at the beginning by some guy named Shack... I think ^^ Should be somewhere around here.
