This is my first thread but I want to know if I can switch between Zelda and sheik mid match in tournament play. If I can is there any good strategies or tips on playing both?
You absolutely can. I think the only scenarios where it might get banned are character-locked crew battles and all-star battles, but it depends on your individual tournament's ruleset.
As for times to switch, safe times are when respawning, when recovering (sometimes, depending on how you do it), when your opponent is recovering, or when your opponent is respawning. You can use this move as a recovery in a few ways. Transforming Zelda->Sheik can help you get down to the stage. If you jump out of hitstun and IMMEDIATELY Transform you keep your jump momentum but also get the reduced gravity during Transform. You also keep horizontal momentum, so Zelda->Sheik lets you fly across the stage with it but Sheik->Zelda generally stops dead in the air. Use this trick to Transform safely to Sheik while recovering high or Transform to Zelda for recovery. If you want to recover low but switch to Sheik, don't jump but make sure you start moving in the direction you want to slide while Transforming before pressing downB.
As for reasons to switch, there are many. Both characters can rack up damage quickly and have good enough ways to kill, but Sheik's neutral is better than Zelda's. Also Zelda can get out of combos but dies off the top easier, while Sheik gets combo'd and has trouble recovering. As such, I would recommend playing Zelda at low percents and Sheik at high percents. I'd also recommend edgeguarding with Sheik when possible, since her edgeguarding is far more reliable and you then can play as Sheik in neutral afterward. If you were edgeguarding them, they are probably at high percent and one hit from either character would be good enough to kill, but Sheik's options are easier to land.
The final 2 reasons to switch have to do with playing your opponent. The first is confusing the opponent by switching up your options and style by changing characters. The second is confusing opponents with the matchup they know less of (which is usually Zelda for hardcore Melee crossover players).