Sweden can participate in the Scramble for Africa if they're a semi-relevant power.
You don't need to be a power to have colonies.
Historically the tiny Duchy of Courland (in the Eastern Baltic) had colonies in the America's and Africa, and those more or less were lost because the country was on the losing side of a war (and was eventually annexed by another country), to use an extreme example.
What Sweden (without changing its history much) needs to do is find a part of Africa that's not being colonized or claimed by anyone that's atleast sort of worthwhile (IE it does'nt have to be super prosperous) and focuse their efforts on it while later remaining neutral, but cordial towards the countries that end-up colonizing the surrounding area.
Another scenario, much later on could be during/right after the Spanish-American War Sweden approaches Spain with an offer to buy Annobon and/or Spanish Guinea (maybe with the intention of stopping slavery, which was unofficially perpetuated by Europeans there until the 1920's) from them, like how Spain sold its small Pacific island posessions to Germany.