The best strategy with Sheik is juggling. Practice juggling your opponents. When I want to practice, I just go on a fairly neutral stage and play against a level 1 CPU. Her back air, up air, and forward air are all good moves to use, as are her dash attack and tilts. I'm usually all about aerial moves and stringing them together into combos. Her after attack and landing lag are minimal and you should probably learn when your lag is finished so you know exactly when to attack. Playing Sheik is all about being fast and relentless. You play it carefully until your opponent makes a mistake and then just jump in and pummel them.
I'll make a video soon so you can see exactly how I play. It's kind of hard to describe, but it's basically all about trying to combo my opponents.