Lol, you're Mooninite? Heard about you before. But yes, edgeguarding Sheik can be tricky.
Edgeguarding:
-if she goes straight up(cape)[she'll turn the other direction and miss the edge grab]
-if she goes for the stage, but you know(a good read) she'll barely land on the stage(cape here again, it'll turn her little momentum she has around as well and get a kill)
-stuff her startup of the up b(when you see her leap a little) w/ a bair and you'll get an easy gimp
-cover the edge option w/ either a regular get up(100%)/roll then punish accordingly if she lands on stage
-stay on the edge the whole time and do nothing(THE MINDGAME LOL) and hopefully they try to trick you, but in turn kill themselves
Shutting down Sheik:
-don't miss an L- cancel/space aerials good(won't get grabbed)
-in the air show her down w/ a dair
Combos:
-uptilt the poop out of her
-upair blind
In general, you have to avoid getting grabbed and edgeguard her. If you can do both of those things, it'll make the MU a lot easier. If you didn't know, I believe this to be Mario's hardest MU so don't feel all bugged out about not feeling that comfortable. You did a lot of up airs to nair. Which isn't enough kill power. Switch nair w/ fsmash(angled up if needed). And you gotta take advantage of the fact your throws are good on her too. Dthrow --> fsmash/upsmash(depends on DI). The bair wall she does is annoying, just space it and try to fsmash it. Don't try to shield grab, it never works -___- and don't roll, they're facing that way to get an easy grab on you. You could chill back for a couple seconds and throw fireballs to annoy her. And no chain throw works on Mario. Up b/jump out of a dthrow when necessary. But overall, your Mario is pretty cool and would probably tap mine xD haha. Good stuff beating Sheik