There is a fairly authoritative style guide for writing Swedish: "Svenska skrivregler" by Språkrådet (The Language Council of Sweden), now part of Institutet för språk och folkminnen (The Institute for Language and Folklore). The recommendations in this guide are mostly followed in practice, at least in Sweden, but I would assume in Finland as well.
When it comes to dialogue, there are multiple options given in "Svenska skrivregler", and they are all used in practice.
One of the most common way to write dialogue is probably this:
I am bloody hungry, thought James.
– Do you have a sandwich for spare? he asked Mary. I have brought no food.
– Sorry, I have nothing to eat, she lied.
– Did you say ”I have nothing”? he asked.
The quotation dash ("replikstreck", "talstreck", "anföringsstreck", "pratminus") should be a single en-dash (shorter than the dash used in English) and there should be a space after the dash (unlike in English). Preferably, the dialogue should be indented even when indentation is not otherwise used to mark a new paragraph. The quotation dash is only used for speech, not for thoughts. The thought should not be italicized either.
In this case, double quotation marks are used for quotes-within-quotes.
It is slightly akward to have two quotes (or an interrupted quote) on the same line so a dash is sometimes used in the middle of a line (always an en-dash, always with spaces on both sides):
I am bloody hungry, thought James.
– Do you have a sandwich for spare? he asked Mary. – I have brought no food.
– Sorry, I have nothing to eat, she lied.
– Did you say ”I have nothing”? he asked.
"Svenska skrivregler" does not mention this usage and it is presumably somewhat non-standard.
The other common way in Swedish is to use quotation marks:
I am bloody hungry, thought James.
”Do you have a sandwich for spare?” he asked Mary. ”I have brought no food.”
”Sorry, I have nothing to eat”, she lied.
”Did you say ’I have nothing’?” he asked.
Swedish uses identical quotation marks to begin and end a quote: ”. Apart from that, I think the rules are similar to common British usage. The comma goes outside the quotation marks. Question marks and exclamation marks that "belong to the quote" go inside the quotation marks, however, and in that case no comma is used. And the final full stop normally goes inside the quotation marks. Generally, having punctuation on both sides of a quotation mark is avoided.
Single quation marks (still, only one type: ’) are used for quotes-within-quotes in this case. They are not used for base level quotes.
Again, thought do not take quotation marks and italics are not used.
Both the dash-style and the quotation mark-style is also commonly used with a colon:
James thought: I am bloody hungry.
He asked Mary:
– Do you have a sandwich for spare? I have brought no food.
She lied:
– Sorry, I have nothing to eat.
He asked:
– Did you say ”I have nothing”?
James thought: I am bloody hungry.
He asked Mary: ”Do you have a sandwich for spare? I have brought no food.”
She lied: ”Sorry, I have nothing to eat.”
He asked: ”Did you say ’I have nothing’?”
Finally, guillemets ("vinkelcitationstecken", "gåsögon") may be used in place of the normal quotation marks. This style is not that common and I think it's mostly found in fiction. There are actually two options for using guillemets, they may be »right pointing» or »inwards pointing«. The former is more traditional but the latter is increasingly common. Otherwise, the rules are the same as for normal quotation marks (single guillemets are used in place of single quotation marks).
I am bloody hungry, thought James.
»Do you have a sandwich for spare?» he asked Mary. »I have brought no food.»
»Sorry, I have nothing to eat», she lied.
»Did you say ›I have nothing›?» he asked.
I am bloody hungry, thought James.
»Do you have a sandwich for spare?« he asked Mary. »I have brought no food.«
»Sorry, I have nothing to eat«, she lied.
»Did you say ›I have nothing‹?« he asked.
———
Qwynegold wrote:In Swedish and Finnish, there are two types that are common:
“I'm bloody hungry”, thought Jakob.
“Do you have a sandwich for spare?”, he asked Maria. “I have brought no food.”
“Sorry, I have nothing to eat”, she lied.
I am bloody hungry, thought James.
–Do you have a sandwich for spare?, he asked Mary. –I have brought no food.
–Sorry, I have nothing to eat, she lied.
There are no established conventions for thoughts.
I must disagree, I don't think those are the most common conventions in Swedish. See above.