Your problem is not going to be getting the skull out of Africa. It's very unlikely that South African Customs will check your bags leaving the county. Your only issue will be with getting it into your home country. If you are certain that a boiled skull attached to some wood will fly with Swedish Customs, then you should have no issues.
As Fryeguy correctly mentioned, most countries will allow finished taxidermy and souvenirs from animal parts into the country provided they are certified as tanned and treated products. Commercially tanned hides purchased in RSA will have a veterinary's ink stamp on them. Also, a receipt from a curio shop or taxidermist will usually suffice the Customs inspectors of the country you intend to import into. If you could get a receipt of some sort from a dip & pack facility or the taxidermist that boiled your skull, it might be a good insurance policy even if you are confident that Swedish Customs will let you bring in a boiled skull with no paperwork.
I´ve contacted the relevant Swedish authority and gotten this as an answer:
Finished items
For finished items, however, there are no infection protection restrictions in the form of e.g. requirements for a veterinary health certificate. The same applies to certain hunting trophies and other preparations such as stuffed animals and various types of montages. Products that can be counted as finished items are e.g. ready-made montages where the skull or horns are mounted on a plate, have hooks or hooks to be hung on the wall. Leather must be fully treated (eg tanned, simply dried is not enough).
However, in the case of finished items, it must be accompanied by a so-called trade document, which in this case can be a simple piece of paper, where the sender, receiver, quantity, type of product and date of dispatch must be stated.
This means that I should be good to go if I boil the skull and nail it to a piece of wood and throw it in my suitcase together with a note that says something like "1 Impala sent: date of home travel, sender: hunting outfitter, receiver: Pirkan"
As long as I´m not going to end up in an african jail on suspicions of smuggling endangered animals or something its worth a try.
The reply was originally in Swedish and I used Google translate but I think it´s good enough.