DI-ing diagonally downward helps you to hit the ground, rather than continue to float up from being chain-thrown forward. If you do it right, the best that your opponent can do is chain throw you forward twice. Now, when you hit the ground, you'll want to roll away instantly, because your opponent is likely still looking to finish their combo, either with a quick dashdance-> grab, or f-airs to a spike or f-smash. When you escape those low % grabs, be sure you turn it around instantly: grab them and even the score.
I agree with FrostByte, the D-tilt is by far the safest approach option.
My personal favorite approach, is to short hop, at the peak of your SH, throw a f-air and fast fall/ l-cancel it, followed by a D-tilt. If you're spacing yourself right, you will NEVER get shield grabbed out of that, and anything they try to do out of their shield will get them poked by your D-tilt. Try to follow D-tilts with grabs, it maximizes your options for comboing, but you could do whatever you feel like after a successful D-tilt. (Side+B combo, F-tilt, F-smash, Aerials, Neutral B, anything goes, but some will be MUCH less useful than others)
If you start to get predictable with the F-air->D-tilt->Grab approach, try Neutral A's instead of a grab. Just a few, 2-3 swings. You're likely to get a few hacks of free damage, and you're relatively safe from shield grabs, if you're still spaced properly after the D-tilt. But, like I mentioned, only do a few, because your opponent will punish you for a longer Neutral A chain. =P