O, sorry atila I didn't see your post until just know.
Chain lock is where you pull out grounded chain, and somehow your opponent gets hit by it. The from there, you wiggle the control stick and c-stick a lot, and if done correctly the opponent will take massive damage, like 60+ in a matter of seconds.
The only problem is, nobody will ever get hit by it, and by its nature its really weird to do it precisely, and if you **** up and get hit out of it, since you're wiggling the control stick, your DI is completely ****ed.
And how to approach with sheik.
Walk, if they jump run up and trap their landing with either dash attack or shield grab. If they dont jump, just walk towards them and apply mad pressure by doing nothing. If you get close enough to jab, then jab at them every now and then, if not wait for them to commit and either jab/f-tilt them out of it. "approaching" with sheik is just playing really defensively at a close range, to bait them into doing stuff, and punishing landings.