Dhalsim is a nasty character with a ton of options to match Vega at every range.

At far range, Dhalsim will throw fireballs and jump with a J.HK or J.MP or HP drill, all of which are good at covering your wall dive arc, and Upward Yoga Flame is great for him if he can get it off in time. You usually only want to wall dive to catch him during a fireball.

At mid range, it looks better for you. Dhalsim will mix fireballs and long range pokes, often hoping to hit you on the way up with S.MK. He has a lot of normal antiairs, but B+S.LP is one that works best for him in this match. Even that often trades with your J.MK. Look for jump in opportunities, neutral jump a lot looking for drills, or back up to 2/3 screen and Jab Roll to hit his limbs.

Ironically, Dhalsim is most dangerous up close. He has very good throw range and a lot of cheap followup options after a Noogie grab. His drills become a lot more oppressive since you don’t have time to gauge the angle and antiair correctly.

Dhalsim can drill and land safely at a range where only he can throw. He can also whiff a HK drill and land far enough away that your Scarlet Terror will miss. S.HK is good at high angle drills and C.HP is good at low angle ones, but when Dhalsim is close, you aren’t going to get the chance to get either normal out. S.LP can sometimes save you, but the timing is very difficult. Get out of this range ASAP, 3P is worth taking a hit afterwards, he’s too slow to follow you so you’ll only take one limb. If you can’t get out immediately, NJ.MP and especially NJ.MK are good at hitting him out.

Dhalsim’s teleport is his only reversal move, so follow up every knockdown with a HP Roll. He can grab you out of this if you’re very close, so start it a little farther away.