After reading a bunch of posts and stuff, I've come to realize that this Time Line is much less plausible than I first thought, So I'm restarting this thing (The whole point is still to make Sweden an empire and super power (If Sweden gains some overseas colonies in the west indies at the same time all the better) So, how plausible is it for Gastav I Vasa to manage to conquer Denmark-Norway? Any good tactics (E.G. Guerilla warfare against the much more numerous Danes? Stuff like that?) If that is not plausible any other way where Sweden can conquer Denmark-Norway very early? (I've put this here so that older readers can give me tips (Consider all my previous posts ret-conned/Removed due to irrelevancy) on how to proceed with this.)
It's hard to make Sweden a lasting superpower, due to its position surrounded by enemies and its low wealth and population. It is a very interesting subject, though. Keep at it!
On your question about conquering Denmark-Norway, it's hard as long as any of the major maritime powers (France, Britain, the Netherlands) are unoccupied. Conquering Denmark would give Sweden complete dominance over the Baltic, and the Baltic was the source of much of the wood and other materials that built the navies of the maritime powers. None of them want one country dominating something that is so important for them.
If Sweden can cut some kind of deal with one of the maritime powers, they might be able to pull it off. Maybe they exempt one country from paying the Sound Tolls in exchange for aid in conquering Denmark. It's not very likely that they are able to actually subdue Denmark before Gustav II Adolf comes around, given Denmark's large advantages in wealth and manpower. A surviving Gustav II Adolf is your best bet for a great Swedish Empire. Some kind of personal union with Poland later on would give Sweden the manpower needed to make their empire last. Hegemony over Northern Germany as a result of the Thirty Years' War would be very good as well.
What Sweden needs to get to make its empire last is a secure source of wealth and a manpower base comparable with the the other great powers. Both can be gotten by conquering Poland, but it's awfully vulnerable. Control of Northern Germany could fulfill these goals as well. A living Gustav II Adolf could very well achieve one of these goals.