Some tips:
Forward Tilt is an amazing move. If your opponent incorrectly DI's (towards you or straight away from you) you can repeatedly rack up damage by spamming it. If they DI upwards, you can get 2-3 in and then end with an up-tilt, which will tack an extra 13% or so on there.
Jab: Sheik's Jab is actually very good. If you are somewhere where your opponent wouldn't want to DI away from you (like right at an edge), they will often try to DI towards you, which only racks up their damage. Also, the non-combo'd jab is very quick, and can be canceled with a crouch or sheild into tilts or grabs.
Downsmash: This is primarily a defensive move. Especially if your opponent is fond of rolling towards or around you. Lots of hits, and the second and third have longer ranges than they look like. Also fairly high priority, very fast, and decent kill power.
Lagless Aerials: Sheik's Fair, Bair, and Nair have no landing lag. At all. Use them on the way down and as soon as you hit the ground, start jabbing, grab, or downsmash. Most of the time, if they sheilded the aerial, they're still going to be sheilding in an attempt to sheild-grab you. Punish the hell out of that.
Fair Combos: Sheik's Forward air has very low knockback in Brawl, but is very fast and does OK damage. At low percentages, it is easy to string several of these in a row. ALWAYS PURSUE WHEN YOU HIT AN OPPONENT. Whether it be a Fair, Bair, or Uair, you should always chase when you knock someone away.
Avoid Dash attacks: You'll just get grabbed. Practice dash-canceling with the sheild into Grabs and Tilts if you're going to approach on the ground, or use a running upsmash.
Dash-Dance Upsmash: Dash dancing is difficult in Brawl, it takes some getting used to. But it's a lot easier if you turn off tap-jump in your conrol settings. If you get it down, Sheik's dash-dance can be a great mindgame to set up a running Up-smash. If you do things correctly, you can cover a surprising area with the Up-smash from a basically stationary starting position.
Crawling: Sheik's crawl is actually surprisingly useful. It dodges a lot of projectiles (Pit's arrows, Pk Fire, space animal lasers, etc) and even some non-projectile attacks, it moves about the same speed as walking, and there is very little lag to crouch or stand from crouching, which can surprise opponents when you suddenly run at them. Don't spam it or people will just wait for you to approach and downtilt, however.
Needles: Whenever you have a second, charge the needles. If your opponent is throwing a smash or slow move out randomly, make him pay some percentage for it. Similarly, anyone who predictably backrolls after certain actions (dash attack -> Backroll, Shff aerial -> backroll), if you throw just after they start the back roll in front of you you should catch them with the full brunt on the way out.
Defensive Uptilting: The uptilt has a huge duration , range, and priority, and decent damage and knockback. If people repeatedly jump over you or try to come in from above you, an uptilt can sour their day.
