How do you change Zelda into Sheik on Super Smash Bros Brawl?

Answer 1

On Group or at the Classic Mode, while at the character selection screen, click on Sheik with your remote.

To change while in battle or in the Subspace Emissary, hold down (varying with the type of control you are using) and press B. Zelda will surround herself in light. Soon after, Sheik emerges, striking a pose.