I'm not the greatest Sheik around or anything, but I play against a good Link main (SAUS) pretty often so I'll try to give some pointers for those who are having problems. Before I start, go back a page and read Drephen's advice, it's all good stuff.
First of all, do not try to out-spam Link. He can shoot 3 different projectiles, while you only have needles. A full barrage of needles may be able to get through, but single needles will almost always be stopped by the bombs and boomerangs being constantly thrown at you. Clever Links will also stop needles with their shield (the Hylian one, not the one you hold L for). Link wins at the distance game; you HAVE to approach him and stay in his face as much as possible. It can be hard because Link is very good at keeping people away from him, but you have to get in there. Powershield, sidestep, jump, waveland across platforms; dodge however is best for the situation but make sure to GET CLOSE.
One thing to note while approaching Link, you want to avoid being directly above him. Links love u-air and can get combos with it very easily. The u-air has a disjointed hitbox and nothing Sheik has will outprioritize it.
Watch for the up-b while being edgeguarded! A lot of people mindlessly edgehop or wd directly onto the stage and get SCRAAAed to death for it. Be patient, and wait for/mindgame an opening. If you do get up-bed, DI up and towards the stage for your best chance at survival. Also, watch for the jumping n-air off the edge; this can be hard to avoid if you're forced to recover low. It's easier to avoid both of these moves if you approach the edge from above the ledge (but watch for projectiles).
As people have already said, grabs are very important in this matchup. As everyone here probably already knows, Sheik can CG link to over 100% so you definitely want to get grabs in if you can. However, the Link most likely knows this as well and will try his hardest not to get grabbed. Rather than only running up and trying to get a grab in, try to combo into a grab. Link's weight is similar to Sheik's, so the same tricks that work in Sheik dittos work here too. Jab->grab, aerial needle->grab, pretty much any tilt->grab, shffl'd fair->grab work very well at low-mid %s. Mix it up, and you should be able to sneak a grab in. Once Link is at about 110% or so (don't know the exact number by heart), he can escape the CG so at around that % just f-tilt->fair to finish it off.
Hopefully this advice was helpful to someone, if there are any specific questions about the matchup feel free to ask and I'll try to answer. Great thread BTW, I used to avoid the Sheik boards because most of the topics were useless, but this thread is great!
For those who thought this was tl;dr, a quick summary of Sheik vs. Link:
- Get close to him
- Combo into grabs instead of just grabbing
- Be mindful of the up-b or you will get gimped