This should go in the Q&A thread, but i'll throw some stuff in anyway
1. sheik has one of the shortest jumpsquats in the game; 4 frames compared to ike's 7 (not sure if thats the jumpsquat length or the frame airborne), get used to her shorthop, its a must for playing sheik
2. accept that you will have trouble killing sometimes. you will sometimes need to be much more defensive/patient depending on your playstyle, MU, your percent, and your opponent's percent
3. understanding when to stop strings. sometimes continuing strings is a good thing, more damage. but when your opponent is going further away, you don't want to overextend and chase them and end up being punished
4. understand how her combo game works, you can just screw around with the training dummy to see what basic ones are, and you can also look around on the thread for others
5. get down tech skill. do this after you can do the first 4, or at least understand them while playing, theres a large list somewhere around, shouldn't be too hard to find, think it's stickied
other notes:
BF is amazing, but don't spam it (I generally don't use it unless its confirmed or I feel really good about it)
learn how far you can recover from, BF 2nd jump and vanish lets you recover from the very corners of the blast zone
you can extend BF, get used to it
gernade puts you in helplessness, don't screw up extending BF offstage (in general too)
needles are gdlk
go offstage hard to get gimps/stagespikes, but remember you want to recover after murdering someone
good luck :]
(BF is bouncing fish, gernade is side b)