You need to first and foremost need to follow the local and country wide laws of your homeland. In the case of Sweden you may also need to follow the EU testing or standards and practices of manufacturing for certain products. Once you decide to sell international is when you need to follow the laws of other countries concerning your products. Any country's customs clearing officals can refuse to complete the delivery of any package based on any number of laws for that particular country.
With the CPSIA and the FTC it is the physical address that the product is being exported to that determines if you need to follow those 2 laws, plus any others laws & regulations that may concern a particular product. The domain registry has little to do with with the manufacturing or labeling laws, at least for the USA. So if a product is going to be shipped to a customer in the USA, or possibly the US territories, then you need to follow US laws including the FTC and CPSIA as they apply to a particular item.
As for sending the item through the post or if the customer personally carries it home from abroad there is little difference. If a US customs official sees an item as a violation of any USA law the item can be confiscated and possible destroyed. The difference lies in the fact that through the mail there is the chance neither you or the customer may ever know the reason why the package went missing while a customer carring the item bought in Sweden might be told something if their luggage is being inspected in front of them.
Pretty much any country can refuse a product's entry to that country regardless of what way it arrives and customs officials can do whatever they see fit to do with the item. Most times 1 of 2 things happen when the package or product is visually inspected & seized for failure to follow whatever law:
1) The product or packaged is confiscated, & possibly destroyed, with or without notification to the seller or customer.
2) The product or package is refused entry and sent back to the sender, ussually at the senders exepense, with or without an explaination.
Does that mean if you send an item to a country without finding out all of their laws on the product that every shipment will have problems? Actually no, but only because not every package is visually inspected. You can take a chance on sending items internationally without following all of the recieving country's laws, but you have to be equally willing to refund the customer or replace item with one that follows the laws and has all the correct documentation for that particular country if the package gets confiscated or goes missing.
Here's a link to the contact information for the CPSC the government agency that over sees the CPSIA
http://www.cpsc.gov/about/contact.htmlDon't hold your breath about a personal answer though, they rarely answer without the question being submitted by a lawyer or attorney, but the more they are asked a certain question the more likely they are to put it as one of their FAQs on one of the CPSIA pages.
More essential reading about the CPSIA, if at all possible read all the additional links provided and subsections as well.
For the current full list of raw materials offically exempt from CPSIA lead testing please read
http://www.cpsc.gov/businfo/frnotices/fr09/leaddeterminationsfinalrule-draft.pdfAn update on the stay of 3rd party & component testing
http://www.cpsc.gov/cpscpub/prerel/prhtml10/10083.htmlTracking labels required on every product for children under 13
http://www.cpsc.gov/about/cpsia/sect103policy.pdfThe CPSIA main pages
http://www.cpsc.gov/about/cpsia/cpsia.htmlFTC main
http://www.ftc.govClothing, accessories and home furnishings care and content labeling
http://www.ftc.gov/bcp/edu/pubs/business/textile/bus21.shtm#coveredhttp://www.ftc.gov/bcp/edu/pubs/business/textile/bus50.shtm#ComplyingHere's info about small parts warnings
Small Parts Regulations Summary
http://www.cpsc.gov/BUSINFO/regsumsmallparts.pdf Small Parts labeling
http://www.cpsc.gov/BUSINFO/label.pdf and how they should appear in your listings / ads
http://www.cpsc.gov/LIBRARY/FOIA/FOIA08/brief/toygameads.pdf page 19 of the PDF has the abbreviations & page 20 of the PDF has the warning examples are in black-n-white but I believe they need to be in certain colors on the actual label for the physical product.