Funny you mention this. I was on Anthers ladder playing ranked and friendlies with a guy who plays Sheik. Even though I won the ranked set, I felt helpless, much of the time. My opponent said he was relatively new to Sheik, and mains Sonic and Luigi. He mentioned that he was a tourney goer, and that much of his region was free.
He was very, very good.
At first, Sheik seems like the obvious rushdown type of opponent. Much like C. Falcon. So, I attempted to use a lot of lemons to keep her out. But it was when he caught on and started camping me with Sheik that I had trouble. He sat back and drew needles for much of the match. Which disallowed me easy access to the Metal Blade without taking a good chunk of damage. Needles obviously outrange us, and draw faster than we can produce just about any of our projectiles.
In addition, as most Mega Man players will know, Sheik will also negate your lemons/short hop lemons with Bouncing Fish. This was another thing I had to watch for. Because at this point, it was how to approach her? I ended up reading her approach habits and having to react quickly out of shield to get a grab from her FAirs.
I ended up winning the set through aggressive edge-guarding (ledge trumping to bair or ledge trumping to dair).
After the set, we played some friendlies, so I can try to familiarize myself with the matchup. And in everything I attempted to do, the only thing that truly made a difference -- aside from the edge-guarding -- was stage selection.
The matches I beat him convincingly were Battlefield, Halberd, and Smashville/Town & City. Platforms helped cancel out Sheik's ability to camp me, which forced him to approach.
Unfortunately, with the little amount of lag on Sheik's moves, once she did approach, it meant more hit and run tactics, yet, from me.
Air Shooter was great but sometimes negligible, because Sheik and Bouncing Fish out of danger.
I also attempted to use full hop FAirs, landing safely with lemons and hopping back. This was somewhat successful; Half of the time, if not a little over, Sheik's FAir beat it. This kind of stunted me. The range on her FAir is extraordinary and frustrating. And if it didn't beat Mega's FAir, then it exchanged. And due to her speed, it was mostly in her favor. In addition, my opponent then used needles, as I spaced my Fairs, upon landing.
The reason I chose these tactics, is because I got a chance to speak to Mr. R awhile ago, a short conversation, and he recommended when fighting Sheik, to literally run away at times, if you need to. Because Sheik will beat out most everything of Mega Man. And he needs to keep her zoned.
Overall, I felt overwhelmed, as All of Mega Man's, "tools," were somewhat limited. Even though I won, I realize I have a long way to go in that matchup.