I find the down B usually goes in which ever direction I've been holding recently. So if I'm trying to turn it around, I do this kind of delayed quarter circle thing. I'm not sure exactly what the mechanics are there.
Finishing the kill is definitely Sheik's weak point. Rather than any particular setup, the main thing is probably to stay in the right frame of mind. Patient. Don't rush it, and go into the match knowing you might need to get them to 160ish while they kill you at 110 or whatever. Even when they're at kill percent, hang back and throw needles when you can. Get grabs, but don't try to pretend there's a real follow up; wait for them to get further down, closer to you.
As mentioned, bouncing fish is good for kills. Especially since you can often find it near the boundaries; as they come back, it's fairly safe to try and call their jump with down B. If they air dodge/fast fall/otherwise get out of the way, you'll be just past them, and in a decent position to threaten jumping back and doing bair/uair.
Another option for kills is up B. It's a really strong tool. In the above scenario (missed bouncing fish off stage), you need to up B to recover anyway. Try to position it so the first poof is where they'll be. If it catches them, good chance it will end it. And if that misses, the last hitbox+windbox usually keep you safe. It's also good for situations where they're above you, expecting to air dodge your uair. Instead use the up B, and the delay on it can cause to react to early and get hit. Also works sometimes on the ground if you can disappear as they do something laggy. At that point it's kind of a silly gimmick, but the point is up B is another killing option.
Uair of course will kill eventually. Bair will too, if you hit the sweetspot towards the beginning. Run off the edge into fair is also get, since they already will be closer to the blast zones.
Grenade is pretty good, but you have to be really careful with it. Often your opponent will be able to run right past it and punish you before you're out of lag. If you hit them with the initial grenade toss, it's usually safe to run in and grab while they block the explosion. Worst case scenario I guess they roll out.
Probably the best use I've found is throwing it out while they try to recover. If you can get it to the right spot, it can make it tough for them to come back safely. In case anyone that reads my rambling hasn't noticed yet, you can hold in B to make the grenade fall longer before you pull the pin. Between that and jumping to position it in the air, you have pretty solid control of where to put it. I'm not sure that going this route beats the opportunity costs (in most situations) of not going for needles, or chasing with bouncing fish, or going for off stage fair/bair though. Like any of the edge guard options, you're kinda gambling on where they'll go. But The grenade seems like they have more time to respond maybe, I'm not sure.
Miscellaneous grenade thing: you can throw it (towards the stage or away) while you're just above the stage, and then grab the edge to get rid of some of the lag. It feels faster, but I'm not sure if it is by the time you're off the edge.
