Hi there! Well as you can see by the nick i'm a noob and i'm glad if i can help other noobs.
When you set your keymap in vasm the choice for swedish is the keymap se-latin1, the only problem is that it doesn't exist so your console defaults to us keymap. ( I don't know who came up with this, but that's just the way it is).
The correct keymap is sv-latin1 and it's labeled for El-Salvador and i'm not really sure the people there is very happy about swedish characters? You can either set the keymap to sv-latin1 (El-Salvador) in vasm or just edit (as root) /etc/rc.d/rc.keymap and change se-latin1 to sv-latin1.
Then you can edit /etc/profile.d/lang.sh and /etc/profile.d/lang.csh by changing the en_US to sv_SE that will give you swedish menus (mostly) and although that's probably not a pro's method it works anyway. (I'm a noob remember?).
If you use kde and want that in swedish too, you have to download kde-i18n-sv with gslapt and there's several of these, one for each edition of kde so watch out so you get the right one! (i'm not sure it really matters if you get the right one, but you could have your box explode in your face, who knows?) Koffice also has a swedish i18n.