As a Mario main, I've ways found Sheik to be a fairly difficult matchup, along with Captain Falcon, Yoshi, and Rosalina. While being a difficult matchup, I never felt that I was too overwhelmed, as Sheik really lacks a lot of kill moves, so if she carelessly stacks damage, one good upsmash can end the stock.
While Sheik makes Mario combo food, her attacks individually don't do so much damage, quickly countering her flashy combo with a combo of my own equals out the damage well enough.
My main issue, however, is her needles to bouncing fish setups. I'm a fan of caping projectiles, but against Sheik this doesn't work well, and it's better off that you either air dodge or sheild, somewhat gimping our recovery back to the stage should we get launched, and making us even more predictable. Also, windboxes and damage on her second part of her up+b make her nearly impossible to punish when recovering, which has costed me quite a few games... Perhaps I should try to dash into shield into pivot usmash, as windboxes don't effect shield... Hm...