The trick to beating any character is not necessarily to attempt approaching where your opponent is currently located in his current state, but to arrive where your opponent is going before they get there (i.e. waiting at the end of your opponent's roll as opposed to rushing at them and getting evaded). Just like with every other character, you beat Sonic this way, except Sonic has such a great range of movement that one can't really tell where he, as a character, will end up next.
With this in mind, the first thing you have to ensure is that the Sonic can't get any free spins. None of Sonic's spins have adequate priority; Sonic compensates for his lack of priority with speed and hitstun.
The best way to stay safe from Sonic is to play very defensively; to cover yourself in a shroud of hitboxes, most of which should be able to at least clank with him. Sonic's spins are his best combo starter by far, so if you can avoid getting spun into, you can help stay safe. IMO Sheik loses to Sonic because of his combo/gimp game with her, but with plenty of needles and bairs (the further away your hitboxes are from your hurtbox, the better), you can lock Sonic in combos that he, as a character, has a hard time exiting.
Don't fall for the spin charges, either. They're good mindgames, but they're only abusable when Sonic's opponent is clueless. Just drop needles everywhere and don't make commitments (high-lag moves like dsmash or even tilt moves at close range.
Buffer into shield/roll whenever possible; learn to know when Sonic is vulnerable on shield so you can begin combos from unsafe approaches (HA is very punishable on shield; Sonic's shield pressure game is worse in general than it was in 2.1). Look out for Falcon-like jab pressure on shield (which, if you play Sonic and don't do, you really need to).
The smarter you play, the more the Sonic gets shut down and the more doable the MU becomes. Just remember that most of Sonic's strengths come from his mobility, so if you can hault his movement, you can beat him.
That should be all you need really, I also live in a region that gets upset over the Sonic MU, but certain players are beginning to understand the MU and it's getting pretty scary for me.
