I will just reiterate some of the things I read above:
Sheik doesn't really combo into grabs all that often, imo. BUT, she can follow-up into grab, but it's a mix-up usually. Watch high-level Sheik videos to get a better idea for yourself. Look for when they get grabs, and rewatch to see what proceeded it. See how often Sheiks combo into grabs, or notice when they get a knockdown, and tech-chase into that grab. Maybe they just threatened the opponent enough that the opponent put up his shield and was stuck in their shield.
With that said, here are my list of moves that I use that can lead into grab(:
-Needles, air ones of course (this is probably the only one that feels like it combos, especially with fully charged)
-fair, bair(not as easy as fair), maybe nair, sometimes (of course, these moves have knockback, so usually only at lower %'s, and you would, of course have to run at them after you get the hit)
-utilt, dtilt, ftilt (A lot easier to land on FF's)
As a general rule of thumb, whenever you get a hit, you wanna run at them.