GGs Salex. You've got some nice characters.
It's dependent on the situation. In Brawl, all you had to do was air dodge to the ground and you could shield in time before it hit. Can't do that in 4 because of the landing lag.Most people still try to air dodge to the ground. Any good Ness player knows to continuously loop the pk thunder around the character in anticipation of a dodge, so for example when I play, I am usually setting you up to hit you with the 2nd go around rather than the first. The only time air dodging to the ground works, and only sometimes, is if you have an extremely fast falling character, like Fox or Sheik.
So what do you do if you don't have a fast falling character? A few things. If the Pk Thunder is far away enough that you can fast fall to the ground, do that. Just don't air dodge. Shield immedietly when you hit the ground and there will be no lag. PK Thunder blocked.
If the Pkthunder is near you, the other option is to attack it. Most characters have several options to attack pkthunder in the air to nullify it. You just have to position yourself correctly for the attack to hit it. Easier said than done, but with practice you can achieve this method a lot.
Finally, if you find yourself being juggled by pk thunder, make a decision to move closer or away from Ness. Don't stay in the mid range area. If you move far enough away, you can eventually reach the stage before the next thunder hits. If you have the confidence and the right character, you can move near ness and take advantage of him being completely open to an attack if pkthunder doesn't hit you.
There is no magical one way to deal with pkthunder. You have to quickly assess the situation and make a decision on what to do, based on what I said above.