A movement drill I use is go to training mode, lvl 9 cpu, any character, and choose the most bizarre stage ever (I use scrolling stages), set the CPU to Run. Now chase after the CPU. Very simple, but very effective at getting used to running around, dodging obstacles, and using your surroundings.
Something all Sheiks should learn asap are her combos. Practice Fair to grab at 0%, and then fair planes (fair into fair into fair...), grab combos (mostly fthrow), Ftilt follow-ups, and Bouncing Fish Combos. Practice spacing her fair in training mode. Try to hit with the very tip on your fair (the hitbox goes slightly beyond the slash animation). You'll know you got the sweetspot if the damage meter says 5 instead of 4. For spacing purposes, use landing fairs out of a short hop, instead of a rising Fair, as landing fair has more range for some reason. Also, SUPER DUPER important, practice your kill confirms. Sheik has a lot of deadly 50/50s and very few kill options, so you MUST be consistent with your kill confirms. Learn all of them. Jab Cancelling is really good as it leads into Ftilt, Dtilt, or grab and jab is usually safe in neutral.
For techs, I think dash-to-shield is super important, since Sheik has some really strong out-of-shield options and dash-to-shield makes her very threatening. Needle techs are an absolute necessary. Focus on B-reversing (out of a dash and in the air) and Needle Fidgeting, as these two combined give you a lot of control over your movement. Rising Storm (buffered full hop needles) are important as they allow for certain sick combos (VoiD combos). Techs such as Ledge Nade and Instant Needle Cancelling aren't necessary, but are useful. Perfect Pivoting is super goddamn useful, trust me, allows for sick movement and extends combos. Perfect Pivoting is a must.
As for neutral, Sheik is really complicated and can be played in many different ways, but to oversimplify things: use needles to force approaches, use fair for spacing, and fish for grabs/fairs/ftilt. Sheik has a lot of tools in neutral, and you must learn how to use all of them. For practice needles, go to training mode, set a cpu to walk, and practice throwing needles as far as possible. Practice spacing your fairs. And practice out-of-shield options (ftilt, nair, bair, grab, jab,...). Watch players such as K9brusce (very basic), Mr. R (good fundamentals), and ZeRo (insane neutral game). Practice your combos and kill confirms.