Some accented characters should be readily available using the right modifier keys, e.g. å is option-a.
ä is created by typing option-u followed by an a
ö is created by typing option-u followed by an o
I hope that helps!
Not the answer I was expecting, but it works!
You can also open Type > Glyphs panel and adjust it to a proper place on your screen. When ever you are typing and should get special character you can´t find from your keyboard, you simply stop typing for a second and double click that character on Glyphs table - character will appear into your text - to the place where your cursor is blinking at the moment. You will see recently used characters at the top so they are pretty easy to pick after short usage...
If you need nordic characters a lot, and for other works as well, I suggest you to buy a swedish or danish keyboard. I bet you can find it from some online store for 10-20 bucks. Then you can change your keyboard language to swedish when you need... and have all those PIA characters right on your keyboard... (like I do... I have a Finnish keyboard.. =)