At this time there where no trouble to ship things in an out of Norway, Sweden and Finland, most likely via the Baltic sea. If you where going to ship weapons to Finland at this time almost all external shipments went via Sweden and then north in Sweden to then cross over to Finland via boat in the Gulf of Botnia. Härnösand in Sweden was a regular used harbour in Sweden for shipments and the destination in Finland where random locations. For the Barents sea i have not read anything about shipments that way.

I am guessing that your question implies a shipment from UK or the US. Both of them used Norwegian ships since they where on good standing with the Germans at the time and then a harbour (Göteborg) in Sweden for logistics. OSS (CIA) had already in the 1920 started to build up a common platform with the Swedish military intelligence and since Finland moved their military and intelligence command to Sweden the coordination was very straight forward. On top of all this did the "Finland action front" still exist in Sweden from the Russian occupation in 1809 so the was a lot of options to move things to Finland via Sweden.

Sure the Germans intercepted Norwegian ships on a regular basis at this time as well. But most of them where iron ore shipments going from Narvik to France and the UK.

Source,

Jan och Nordens frihet en svensk frivillig i Finland och Norge by Lars Gyllenhaal

Sverige under andra världskriget : myter och legender by Anders Frankson, Anders Johansson, Niklas Sennerteg, Tobias Berglund, Lars Gyllenhaal

Svenskar i strid mot Hitler : i amerikansk krigstjänst 1941-45 by Lars Gyllenhaal

Svenskar i krig 1914-1945 by Lars Gyllenhaal, Lennart Westberg