Sheik is one of the best characters for punishing tethers imo.
Lingering hitboxes, of which she has from Bair and Nair are great at hitting tether recoveries offstage. You can just drop down from the ledge and leave a hitbox in the way of the arc that the tether will force the opponent to go once they use it. They can't really wait out the hitbox like they would be able to do against a character like Marth; if they try to wait out your sex kicks they will just put themselves too low to recover anyways (this is assuming you yourself timed your edgeguard well).
Needles are also a great tool for dealing with tethers... and every recovery ever. Needle are absolutely incredible and you should definitely accustom yourself to the timing/positioning on aerial needles to punish various angles that your opponent could recover from.
Sheik also has reverse Fair which is fantastic at punishing the forced hop from tethers if you are holding the ledge when they try to reel up. Drop from the ledge, double jump to chase the forced tether hop, and the reverse Fair is basically free. I always go for the reverse Fair myself, but I bet you could also do stuff like ledgedash Dsmash or w/e to punish the tether hop.
One thing to practice is dealing with Zair tethers; Zair characters like Link and Lucas can tether to the stage and then almost immediately cancel the tether into an Up B or other move. It makes their tethers far more safe than strictly tether recoveries like Ivy and Olimar. With practice though you can punish this though with Bair/Nair. So like, if Link wants to tether to the stage, and then cancel it into an Up B you can just drop from the ledge and tag him with an easy Bair as he Up B's.