By living in Sweden and having a Swedish personal identification number (personnummer), you are required to declare your entire worldwide income for tax purposes with the Swedish tax authorities, Skatteverket. It would seem to not make any difference if some of that income is kept outside of Sweden.
A company that has no permanent base of operations within Sweden should not deduct any preliminary taxes for an employee that lives in Sweden. Rather, the employee should apply for "special A tax" ("SA" tax status), and pay the taxes that, had the company had a permanent base of operations in Sweden, the company would have paid.
The information available on the tax authority's web site in English seems limited, but the relevant page in Swedish in your situation is very likely Lön från utländska arbetsgivare utan fast driftställe i Sverige.
There is a summary at Paying taxes – for individuals. Particularly do note the summary section:
When staying for at least six months, you are considered as resident in Sweden for tax purposes, and are liable for taxation in Sweden on all of your worldwide income. You must also file a Swedish income tax return. Your tax return must be filed no later than May 2nd of the year after the fiscal year.
as well as that:
If you stay in Sweden for a continuous period of at least six months you are considered to be resident in Sweden. /.../ As a resident you are liable for taxation in Sweden on all of your worldwide income. In some cases a tax treaty with with your ordinary country of residence may limit the Swedish taxation. /.../
For a more detailed answer, including which exact forms you need to fill out and what data is needed, I strongly recommend that you either contact Skatteverket (they are usually quite nice to deal with, and they tend to realize that everyone benefits from getting the tax paperwork and payments right from the beginning), or find an attorney specializing in Swedish tax law. They even point out themselves that (my emphasis):
the practical applications of these rules are relatively complicated and for more information you can contact the Tax Information (“Skatteupplysningen”) at 0771 567 567.