Having played the MU, and as a player who shields a lot... punish all grabs as hard as possible, and do what you can to dissuade the grab. Sheik gets nearly free followups from grabs and her tech chases/any whiffed DI (bad DI on bthrow gives her DACUS tipper usmash <_<) and her grab is quick with decent range. Meanwhile her neutral otherwise is meh, but Link can actually keep up if you can force grab off the table.
I played a guy ranked above me on the PR who had a pocket Sheik that I had seen do good work vs others, but he didn't grab much. I also have played grab-heavy Sheiks, and a good Sheik who's in the middle but slightly grab-heavy. The grab-heavy Sheik kept it somewhat close despite me being a better overall player [as shown in Melee and PM multiple times], although I wasn't on top of things (and if the video is put up to youtube I can link me zero-deathing his Sheik :] ). The mid-range Sheik I feel like I have to win neutral maybe 80% of the time to win, somewhat less if my punish game is on-point (this is also due to Link's gimpability and his efficiency there - if Link had, say, Pit's recovery (or even maybe like Lucario or Snake or something), then losing neutral would be less punishing). Vs the Sheik I played who was considered (easily) the best of them and who wasn't that grab heavy, I could win neutral maybe 60% of the time and win (I lost but some nerves and also not realizing he just wasn't grabbing much). So if you can come up with any ways to stop grabs, do so. Boomerang behind her and bombs in the hand help this (as does comboing her), but those things aren't terribly easy to set up (and you don't want to waste resources - I've started to realize I need to change how I play, mainly in viewing the rang less as a renewable resource to be deployed at will, and more of a way to temporarily cover holes while inducing new ones, or as a pseudo-punish (either combo or use it for scratch damage when I can't punish their mistake or predictability).