I don't really believe in picking up secondaries just for matchups. Imo you should use whoever you're comfortable with <_<
Sheik. Ugh. Don't get grabbed. Ever. It's just free damage for Sheik.
From 0, Dsmash is a good combo starter. Then again, it usually is. If Sheik doesn't jump then go ahead and go for another Dsmash. Direct approaches don't work so well due to needles. At high %, go for the normal kill stuff. If you have a grab, go for Uthrow -> aerial at mid % (or Ftilt depending on DI) or Dthrow -> aerial at high %. At 0, Dthrow Dsmash/Ftilt. When you're at high percents, be VERY cautious. One grab = death (Fair/Uair). Don't approach directly. Even if you dodge needles, one Ftilt or Dtilt = death (see: grab). If you have any plans of recovery while being edgeguarded, you should try and sweetspot the ledge as long as Sheik isn't edgehoggin you. That way all she can do is go for Dtilt -> aerial or a Dsmash, both of which are easily teched. Unless she goes for a Bair stage spike.. that's uncommon, though, and can also be teched. And even teched -> Fair's if you're super sexy.
This is all that came off the top of my head. It's late and I can't think. Ask more questions, I'll be happy to answer.