I try to train them both equally. I find that matchups I find hard with one character are always significantly easier with the other one. I don't really switch to Zelda to kill unless I'm getting tired of playing as Sheik. (I tend to get bored quickly.) Sheik has enough KO options, imo, that she is not dependent by any means on Zelda.
I guess, fortunately, I happen to just really enjoy playing both characters. I personally strongly recommend learning the two. Why not take advantage of the asset?
Anywho, I tend to transform jump a lot with Sheik. usually it works just fine but sometimes wifi lag makes it really easy to punish. It's not necessary really, but there are times when I just can't get my **** together with Sheik and need a change of pace. On the plus side, the enemy has to quickly adapt to fighting a whole new enemy with all new pros and cons.
To conclude:
Both characters can survive independently of the other.
It's a matter of personal preference.