It seems that Stalin (convinced by either the Red Army's sheer size or his cronies in the Part) felt that victory against Finland in the winter war was going to be won in short order. Had this been the case and Finland not put up such a resistance, did he plan to launch assaults on Sweden or Denmark after Finland fell? Or would have have accomplished everything he wanted to in the Scandinavian peninsula?
There's likely no historical evidence that Stalin planned to expand into the rest of Scandinavia. In the same way its a matter of debate whether he would have fully occupied Finland had he had the chance or contented himself with the territories initially demanded.
The wider foreign policy goal of acquiring the Baltic states and the Finnish territories was to insulate the Soviet Union from a theoretical invasion by Britain and France. The security of Leningrad was an incessant issue going back to the city's foundation, and at the time it lay directly across the border from Finland. There wasn't really a purpose in occupying the rest of Scandinavia and further alienating the rest of the world.
As /u/Bluegutsoup noted, most probably Stalin had no further plans for Scandinavia.
The takeover of Finland and the Baltic states was to be the Soviet Union's share of the spoils according to the secret additional protocols to the Molotov-Ribbentrop agreement of 1939, where Stalin and Hitler signed a non-aggression pact. (The existence of such division into spheres of influence was widely suspected at the time and confirmed after German archives fell into the hands of the Western Allies.)
Furthermore, the Soviet troops invading Northern Finland had strict orders to respect the Swedish and Norwegian borders. Additionally, any Swedish or Norwegian military patrols were to be smartly saluted, but any conversations were strictly forbidden. These orders are now known from interviews of Soviet prisoners and from paperwork Finns found from wreckage of the annihilated 44th and 163th divisions.
However, the current consensus of historians at least in Finland is that Stalin indeed intended to take over the whole of Finland and at a minimum turn it into a puppet state - and most likely annex altogether. Believing otherwise would necessitate a belief that Stalin was making an exception for Finland and the demands for bases and territory he issued to the Baltic states as well were only in Finland's case not a precursor for full occupation.