Use one of the following methods to unlock Sheik. Select Zelda/Sheik area at the character selection screen. Hover the pointer over your section then press one the following buttons to toggle between Zelda and Sheik.

With a Wiimote, press 2.
With Wiimote and Nunchuk, press A.
With a Classic controller, press A.
With a Gamecube controller, press A.