If Fair keeps getting grabbed, switch to Bair. It has a much longer range, and you should be able to space it such that you can't get grabbed.
Also, as stated, throwing out the chain instead of fairing can throw him off.
Shorthop airdodge through him into jabs or tilts can be effective, though sheik does not have amazing horizontal air movement. It still will likely throw him off if you mix it up.
Needles are a great tool against Marth. You can use them at a variety of ranges to throw him off. Additionally, if he's not attacking you and instead is waiting for you to attack, simply charge your needles, and suddenly you have a much larger threat. You can bluff a fair and instead back up a little and loose a full barrage of needles. This can easily set up into a grab or Ftilt.