As far as combos go the Sheik Vs Marth match up is very difficult since he can up B out of you AAA combo, ftilt lock and down B the chain so to fight him you will be using mainly hit and run tactics because you already have so little options left for comboing him. Because of this if Zelda had a favorable match up it would most wise to use her but she doesn't so...yeah.
In the low percents for tilt combos I usual do ftilt, ftilt, utilt, into dash grab. I'm not 100% sure since I play mainly online if the utilt can come out in time after the second ftilt but still it's a good combo.
Also sweet dtilt, ftilt, (maybe another ftilt), utilt, into dash grab. That's also nice to do when given the chance.
Since marth doesn't have range it's best to play defensive and force approach from him until he get's reliably close then either retreat or rush toward him into a shield grab. Marth aerials can only safely shield pressure when the tip of the sword hits so by sudden charging him you might cause a failure to space correctly and allow you to get a free grab.
Marth air game although good and hits ever angle around him can easily be defeated by sheik fantastic speed. Most noteworthy being his fair. Marth fair range is good but because the attack start above his head it does a poor job protecting his lower body unless he starts the move a little before hand. Meanwhile sheik fair also starts above her head so it hits opponents who are above sheik even faster then normal.
As far as Gimping goes, horizontal needles seems to stop marth floating back to the stage and force him to approach low, and a strong bair I recall beats his up B. Although now that I think about it I'm not sure if you have to be using the strong bair away from the stage or towards it.
If Marth uses his neutral B to recover just uair him and be quick about it to as the cool down of that move isn't long.
edit, by the way sheik back throw causes people to face away from her and marth bair is slower but more powerful then marth fair. Something to keep in mind in the future ^-^; I just notice that like a few days ago myself.