They did. Swansea means "Sweyn's Island" and is believed to refer to 10th century Danish king Sweyn Forkbeard. Anglesey, which has the similar Norse etymology "Ongol's Island" was probably also a center of Norse settlement. Hubberston was probably not a Norse settlement, but takes its name from the Viking king Ubba who supposedly made use of the natural harbor of Milford Haven during his raids. Many Vikings also fought for, not against, local Welsh kings as mercenaries. This is all to say that even if the Vikings did not establish kingdoms in Wales, the Vikings themselves were very present in the country, especially in the 9th and 10th centuries.
Historian Neil Price writes that settlement in Wales was more limited than in Ireland, England, or parts of Scotland, but was undoubtedly part of medieval Welsh history. Defeats of Viking raiders by Rhodri of Gwynedd may have prevented Viking settlement from extending beyond Welsh natural harbors in the 9th century. Wendy Davies argues that Viking activity was further limited due to the consolidation of power by 10th century Welsh kings, who were able to raise armies more effectively than their predecessors which could fight back or at least intimidate Viking raiders and traders.