Using earthed appliances and extension lead with unearthed (Sweden) socket
Grounding for safety is much like using seat-belts for safety. They both protect you in case of an adverse event. However that adverse event may or may not come. Just as people may drive cars for years without seat-belts and not be killed, people have used devices that are meant to be grounded for safety for years without being killed. However, just as I would not intentionally drive a car without wearing a seat-belt, I would try to avoid using devices that were meant to be grounded without a ground.
Grounding wires protect you from electrical faults, such as mains voltage appearing on metal surfaces of an appliance.

Would this be ok/safe to use earthed extension lead and appliances through an unearthed socket?

To be honest, I might do so for a short period if I needed to use a new appliance and had the intention of correcting the situation soon. Perhaps not the wisest choice on my part. I am just being honest. I would definitely be cautious when first using it though. Some devices may have faults in them directly from the manufacturer. People on this site have reported being shocked by brand-new stoves which were not properly grounded.

Also in Sweden they sell earthed and unearthed extension leads, which would be most suitable in this instance?

Since I strongly recommend that you do not use devices that are meant to be grounded without a ground in the long term, I would buy the grounded cable. You will be using the ground when you remedy the situation, right? The ground will not protect you now, but you do intend to fix the situation soon don't you? If you do not have that intention, then you should not use these devices ungrounded at all.