Street Fighter IV's long-limbed yoga master has a high learning curve, as always.
You need to learn how to play patiently and grind the opponent's patience down. The trick is not to throw out aimless fireballs and limbs but to anti-air them with back + MP or back + HK first. Once they realise jumping isn't safe, that's when you can play your usual game.
If you're a patient player, Dhalsim's style should suit you well. Most players think they can freely attack him at will but it takes patience to fight him too, otherwise they will get him by his anti-air limbs and Yoga Fire.
Yoga Fire (quarter-circle towards + P)
Once you've taught your opponent not to jump, you can use LP Yoga Fire to start controlling the match. Opponents will try to jump over it, at which point you can back + HK them. If they Focus Attack absorb the fireball, just press HP to tag them. Learning when you can Yoga Fire is essential to controlling the screen.
Yoga Flame (half-circle back + P)
Its main use is in Dhalsim's standard combo - back + MK xx LP Yoga Flame xx Yoga Inferno. Otherwise, its only real use is doing the HP version early as the opponent is getting off the floor, which does some chip damage and gives you the initiative.
Yoga Blast (half-circle back + K)
An anti-air version of Yoga Flame. Only the EX version is fast enough to be of any use and even then, other options that don't burn through meter are better. You can use it to build meter but time wasted building meter with that move could be spent spitting out a Yoga Fire instead...
Yoga Teleport (towards, down, down/towards + PPP or KKK)
It doesn't get you too far away from the opponent but that isn't its main use. Instead, do the teleport in the air but as close to the ground as possible - when you reappear next to your opponent, press back + HP for a quick headbutt. This has to be blocked high, or you could fall to the ground and hit low. It's a vital technique for Dhalsim.
Yoga Inferno (quarter-circle towards, quarter-circle towards + P)
Dhalsim's Super is really useful, due to its insanely fast start-up speed. It can punish certain moves on block (Sagat's Tiger Knee when blocked twice, Balrog's Rush Punches, etc) so having this Super ready to go can help temper the opponent's offence, especially important for Dhalsim should they slip past his defence.
Yoga Catastrophe (quarter-circle towards, quarter-circle towards + PPP)
The most flexible Ultra in the game, it's hard to cover all the uses her but here are some cheap and cheerful set-ups. After neutral throw, immediately Ultra and teleport to the otherside of your opponent (or just delay the Ultra slightly and down teleport) and then mix-up between back + LP (has to be blocked high) or down/back + LK (has to be blocked low). After throwing the opponent across the screen, dash towards him and Ultra. Then you can either jump back and press HP immediately (has to be blocked high) or press cr.LP (has to be blocked low). If the Ultra connects and is close enough, you can also tag Yoga Catastrophe onto the end.
Basic Combo: Level 3 FA > Yoga Catastrophe > Yoga Inferno
Advanced Combo: Back + MK xx LP Yoga Flame xx Yoga Inferno