The Pikachus are very tricky match-ups. Honestly the main reason I wanted to pick up Shadow Mewtwo as a secondary.
Here is a couple of ideas to help though.
1. Light screen. Light screen is a counter move activated by pressing Down - A. It's special that it deals with most projectile attacks. Unlike shields, it will prevent you from taking any damage. The timing can be a bit hard though.
2. CADC (Counter Attack Dash Cancelling). When charging a Counter attack, you can press R to immediately cancel it. Since Counter attacks absorbs attacks with you taking no damage, you can use this to quickly get in. With that said, there are flaws to this strategy. Because you can still get hit in the animation of you canceling the move. Meaning, a pikachu spamming their thunder attacks could probably still hit you even if you absorb the first one.
3. Flamethrower - Your Up - A move. A very good anti-air. If you manage to get in enough, and Pikachu decides to use Thunderbolt. This is a great answer since they need to be in the air to use it.
4. Air Dash -> X air move. You can try going over pikachu, then cancelling it with your X-air move. Pikachu still has a couple of answers to this, but can help you out of bit since a lot of annoyances come from his ground moves. And thunderbolt requires you to stand in one place, which the air dash will obviously move you.