Some things to note about this matchup (which is in Sheik's Favor, btw).
1) Sheik is light enough that she cannot be effectively chaingrabbed. Backroll from the throw and downsmash if he still tries the regrab and he should get hit before he gets to you 100% of the time.
2) Sheik can very effectively avoid Waddles. Fast movement + low crouch = good times. You can even go so far as to get close enough to punish Dedede if he tries it at certain ranges.
3) Needles are hard to dodge when you're a big fat penguin. They also tend to ruin your day
4) Big Size + Big Weight + Fast Falling Speed = Tilt lock like crazy. Every time you hit him with a forward tilt you should be able to follow it up with several more. Yes, he can sometimes pop out the top after a few, but you can usually hit an Uptilt or other followup if he does. He's also very vulnerable to the Chain Lock.
5) Way predictable recovery. If you're good, you should be able to get a Vanish or Tipper Usmash (often very charged) under him whenever he tries to come down on the stage. Additionally, he has fairly slow air speed, so it's often possible to gimp him out of his multi-jumps, often knocking him far enough away that he won't be able to get back with the Up B (or forcing him to use it when he otherwise wouldn't, giving you a free Vanish/Usmash).