If you're on NTSC watch Kira's video on how to follow up on Dthrows. Basically you will learn how to spot what DI they choose from your throw and know exactly how to follow it up.
Know your follow ups on DA on various percents and DI. It's crucial to have tight execusion or else you will get countered trying to follow up.
Know your limitations and don't overextend in your combos.
Usually 3 hit combos are max, but settle for 2 hit. Keep the pressure going though.
In neutral try and stay grounded and moving. Moving in with sheild is good, and as always, don't over abuse an option since this, for example, will get you grabbed.
WD forward OoS grab his dumb Fsmash. Nair OoS on badly spaced aerials.
Learn to combo DI his Fairs (down and away). Mixup your DI on his grab/upthrow. If you suspect forward throw then DI down+away to avoid CG and Fsmash follow up.
If Upthrow, DI to a side (behind or towards) And mix up your DI and your way down from Uptilt/Upair juggles. Air dodging down or down + to a side out of FF, Throwing needles, FF Nair (but not that ofthen) comes to mind.
Please be very careful if you want to jump out, if done at a bad time = death.
When he is recovering see if you can snipe him with needles. Watch alot of Marth matches, for example M2K vs. PPMD GF at SAX. Learn how to edge guard him.
EDIT: I forgot to answer your direct question.
For getting back on stage vs Marth it's crucial to learn to Intangible Ledge Dash. You don't have to learn how to do the perfect length one (side ways) but letting go of the ledge as soon as you can is important.
Mix that up with Shino Stalling, Fair into stage, Needle onto stage, grab out of the WL, Ftilt out of the WL, Shield, Spot Dodge, Fair Stall, Upair onto stage and the basic ledge options.
About "getting in" DD Boost Grab and DA his whiffed grabs, tilts and smashes. If you want to initiate, make sure to mix up your DA and Boost Grabs/JC Grabs evenly, but also remember to overshoot half the time to cover getting DD punished and keeping him guessing.
If he jumps try and run up shield to throw off his spacing. WD OoS Ftilt, Shield Grab or Nair OoS on his aerials.
Although people seem to agree Sheik has the advantage in the MU, it still requires work to win, and lots of it.
Good luck
