I lived in Sweden for 25 years and had a few winters where the temperature went below +40 for weeks. What surprised me the most when I first moved was how incredibly hot it is indoors in winter. When I moved there I took a load of knitted woollen sweaters, wooly socks, flannel nighties and a pair of sheepskin slippers that were perfect for winters in Lancashire in the 1970s, but the houses were all so insulated, and most of them had free heating and hot water from the council incinerator, so anything warmer than a tshirt and bare arms was unbearably hot indoors, and it was comfiest to sleep naked.
The problem with dressing for cold weather in Scandinavia is that the second you climb aboard the bus, or step inside a shop, the temperature shoots from as low as -40 to 21 degrees or warmer.
If you grumble about it the bus driver will happily remind you that the bus is his working environment, and he controls the climate. Most of them seem to prefer working in shirt sleeves, regardless of the outdoor temperature, so before you have even found a seat on the bus your hat is stuck to your head with sweat, and more sweat is starting to trickle down your back. Half an hour later, when you have to step back into the freezing wind, all that trapped sweat goes horribly clammy. So you will want to remove your hat, scarf, gloves, unbutton your coat and generally do everything possible to avoid overheating.
It's much easier to unbutton a chin strap and push back a hood than it is to remove a hat and scarf (and keep track of them for the entire journey).
I found cardigans more useful than sweaters, because you can unbutton your coat and cardigan and flap the cardigan to allow heat to dissipate.
If you are going out to visit friends or for a meal don't try and get there in your good shoes, The trick is to bring a bag with a pair of suitable shoes, then once you get indoors (or to the restaurant toilets) you change out of your thick boots and woolly socks (and remove the fleecy thermal tights from underneath your warm trousers). A tote bag big enough to hold your fleece lined tights, boots, cardigan and whatever else you've peeled off is very useful for keeping everything together in once place so you can put them on again before heading back outdoors afterwards.
I was told that it is very important to keep your head warm in cold weather. A warm, padded or fur lined hood will do the job without making your hair sweaty.
Keep an eye on the fur trim when that icy cold wind is blowing. The first winter I strolled across a bridge while talking to a friend and was shocked when I turned to him and saw that his eyebrows, moustache and beard had turned white under a crust of ice crystals, then I realised that the fur trim round my hood was doing the exact same thing. Someone told me that ice crystals don't stick to wolverine fur, but I never got a chance to find out if that was true. If I went back I'd love a wolverine fur lined coat and hood, to find out out if it is true.
One fun thing to do when it is properly cold is to fling the contents of a boiling hot cup of coffee into the air and watch and listen as the frozen drops ping and bounce when they hit the ground.
I do miss my huge outdoor freezer (the balcony) that was reliably available for at least 3 months each winter, and worked as a fridge for most of autumn and spring.