Lucas can't reliably punish Zelda's Fsmash unless she completely whiffs it. It's safe on block. His fair beats our aerials, but that's unsafe for him. The rest of his aerials get overridden by Zelda's attacks, be it lightning kicking his nair or through his bair or simply being in the rare position of having uair hit him out of dair. Sheik should go Zelda when Fsmash can kill, because then this means that everything else (except for ftilt depending on DI) will kill in addition to having one of her safest moves kill.
He'll have to play defensively, which has already been said. Then again, if Sheik/Zelda have a lead on Lucas (which is entirely possible considering Sheik's advantage on Lucas + her damage building ability), they shouldn't be hard pressed to approach. Sheik alone can deal with Lucas with that aspect because Needles do a better job at forcing an approach than any other projectile in this fight, but if Zelda wants to just sit back and chill when she has the lead, she can do that. PKF won't bring her to Lucas anyway because it's about as spammy as Nayru's Love, which pretty much negates it (along with powershielding).
Lucas suffers from similar afflictions as Zelda when it comes to approaching, and we know how tight her defensive game is. If Sheik/Zelda is losing, I'd say stay Sheik unless you're *really* looking for that kill.