They had several attempts, multiple forts along the Gold Coast in present day Ghana in the 17th century that were siezed by or sold to the Danish, British and Dutch. An attempt to settle "New Sweden" on the Delaware river around the same time that was conquered by the Dutch and integrated into New Netherland and multiple small islands in the Caribbean. By far their most sucessful and longest lasting colony was Saint Barthélemy today an overseas collectivity of France that they were given from France in 1784 and sold it back to them in 1878

http://www.worldstatesmen.org/Ghana.html#Swedish

http://colonialswedes.net/History/History.html

http://books.google.ca/books?id=gBGiAgAAQBAJ&printsec=frontcover#v=onepage&q&f=false