Steb
Smash Journeyman
The transformation takes long because it starts loading the other character as soon as the initial animation ends (just when she turns into a ball of light). This is the same reason why Pokemon Trainer's switching was made so long. The Wii loads much slower than the GCN.
I found a way to reduce the delay, but its not a very good solution. As soon as she turns into the ball of light, pause the game and wait a few seconds. Then unpause the game and you should be transformed much quicker. Of course this isn't the best solution because you would have to disrupt the game.
For those who want to switch between Zelda and Sheik, only good way would be to transform when you respawn, because you keep your invincibility frames after transforming in Brawl. (Info taken from Ankoku's stickied Sheik thread http://smashboards.com/showthread.php?t=147752)
I found a way to reduce the delay, but its not a very good solution. As soon as she turns into the ball of light, pause the game and wait a few seconds. Then unpause the game and you should be transformed much quicker. Of course this isn't the best solution because you would have to disrupt the game.
For those who want to switch between Zelda and Sheik, only good way would be to transform when you respawn, because you keep your invincibility frames after transforming in Brawl. (Info taken from Ankoku's stickied Sheik thread http://smashboards.com/showthread.php?t=147752)