http://brawlcentral.com/forums/viewtopic.php?f=49&t=12904
You should press pause right after the character disappears into the blue aura. You should hear loading sounds. When they stop (takes a few seconds) unpause the game and you'll have switched! So it really is just about loading-times after all.i think i found an effective way to transform quickly without it taking so long.... you start the transformation, and about half a second after that, you press pause. then wait a few seconds and unpause and sheik/zelda should come right out of transforming instead of taking a few seconds to do it.... i dont know why this happens, but it always works for me.