I find if I DI d-throw towards Zelda, I end up with a hefty fair to the face. But at many percents she can get the follow up on any DI, IF she can read it, so I tend to mix up the DI off d throw.
As for B throw, at high percents, you need to DI that up, because otherwise you will die.
For Sheik, once you are grabbed, you can do many things, but if she reads your DI you are going to get hit very hard. This is especially true if you cant DI on reaction to her throws. In general, @
Azureflames
is correct about where to DI, but I always mix up DI so they can't be 100% sure of their next move until they see where you go, and that gives you some time to be able to act.
The thing I noticed is that you said you were noticeably ahead and then got grabbed. If you are ahead by at least one stock, you can afford to play back. At range, the only thing sheik can really do is throw needles or transform, and if she tries to come in, dtilts or ftilts (or u-airs if she is silly enough to come from above) to zone her out. It's much easier to avoid being grabbed than to get out of her grab.