Assume $S$ is uncountable.
Then there is some $N\in \mathbb{N}$ such that $g(0) \leq N$ for uncountably many $g\in S$. Let $f(0)$ be the smallest such $N$, define $S_0$ to be the set of all $g \in S$ such that $g(0) \leq f(0)$, and choose $g_0 \in S_0$.
Inductively perform the following:
- Note that there is some $N$ such that $g(n) \leq N$ for uncountably many $g\in S_{n-1}$. Let $N_n$ be the smallest such $N$ and define $$f(n) = N_n + \sum_{k=0}^{n-1}g_k(n)$$
- Define $S_n$ to be the set of all $g \in S_{n-1}$ such that $g(n) \leq f(n)$. Note that $S_n$ is uncountable and $g_k \in S_n$ for every $k < n$.
- Choose $g_n \in S_n$ such that $g_n \neq g_k$ for any $k < n$.
For such an $f$, $S_f \supseteq \{g_k : k \in \mathbb{N}\}$, so $S_f$ is not finite.
I initially read the condition on $S_f$ as $S_f$ is finite for each $f \in S$. With that [mis]reading, we have the following example:
For each subset $A \subseteq \mathbb{N}$ define the function $f_A$ by $$k \in A \implies f(2k) = 0, f(2k+1) = 2 \\ k \not\in A \implies f(2k)=f(2k+1) = 1$$
Then $S = \{f_A : A \subseteq \mathbb{N}\}$ is an antichain (i.e. $|S_f|=1$ for each $f \in S$) which is equipotent with $\mathcal{P}(\mathbb{N})$, which is uncountable.