well shiek should dominate link. stay to the ledges. needle spam him, and come in with some aerials. when you hit a sheild, lcancel and start jabbing. if he tried to shield grab you, you can keep jabbing for like a free 20% or so. if he didnt keep jabbing and he will be forced to roll or have his shield broken.
as for bombs... you can stop him from bringing them out. it takes a while for him to pull them out so just keep the pressure on. link is really slow so pressure will stop him from doing much. if he does get one out... dont just rush at him, charge your needles or something and wait for him to throw it, then shield it. link really has no anti-shield game, as long as you can at least somewhat see his grabs coming.
and for the record, link's grab is the fastest of the chain type grabs, though it is still very laggy. chaintype grabs can not grab out of the air, so another thing to do to a shield grabber is to just sh b4 he shield grabs and then combo.
oh yea, chain grab. grabbing is your friend in any matchup, and once you get that grab dont let him out. dthrow to jab reset at low % then mid to high just keep grabbing and when you can fair him to death, dthrow ftilt fair. remember that combo, it is your best weapon vs most characters in the game.