I'd go check out the Sheik section in guides and on the forums, there is a ton of information on how to play her, finishing options, play-style choices etc. and you should also check out the following channels on YouTube: Deku Tree, Fyasko, Beefy Smash Doods, Izaw.
In terms of VOD's some top players of Sheik include and are not limited to Void, Mr R, Vinnie, K9Bruce, False and Puppeh.
At this point there is so much information about Sheik available for you to find but this lot should definitely get you started.
Sheik is a lot of work though, so if you want to play her effectively and to a high standard you do need to put in a lot of time and practice to get her movement down.
She is very technical but extremely rewarding once you start to master her. She benefits very highly from fast falling and it is a basic requirement for Sheik mains because of her bread and butter combos and Fair strings.
Killing can be an issue as there is a heavy requirement on reading your opponents options but there is a lot of content on YouTube and here on SB that should help you understand what options you want to look for.
She can also utilise tech such as wave-bouncing, b-reversing, jump cancelling and needle cancelling to help improve on her already amazing neutral and movement game. Although this is stuff you want to focus on later down the line once you have your fundamentals, movement and grasped the concept of reading down.
First thing I would do though is learn to use Tilt Stick (Change C stick from Smash to tilts). This allows far greater control for Sheik with her tilts which can lead into some extremely strong combos. This makes using Smashing slightly harder but since they aren't great overall it shouldn't affect you to much. Her Up Smash is great though but can be worked into your game plan using Jump cancelling which will soon enough become just as natural.
Another controller change would be to set L to either Jump or Special, this is because it makes it far easier to buffer needles whilst jumping for the Needles to bouncing fish combo. Although this can be learn later down the line quite easily.
Otherwise good luck, shes a top 5 character no doubt and a lot of fun to play but she does require a lot of dedication and hard work to master. It should all be worth it by the end though!