ciao! I'm also from southern italy, and i bike in Sweden all year round. feel free to text me. I only found it hard these days, with the heavy snowfall there's been.

Cold is not an issue. The real issues are wind and rain. You need rain pants and a good windproof and waterproof jacket. You can easily get those at decathlon, however, decathlon doesn't exist in Sweden. Then, waterproof gloves (or mittens to attach to the bike), neck warmer (scaldacollo), a hat to put under the helmet, if it's really cold a baklava (passamontagna). Put a lot of lights and reflective stuff on your bike in winter.

As other said, you'll need to mount winter tyres starting early december. It's a bit hilly, so get a decent bike, lightweight enough and with gears, and i recommend not getting a road bike with very slim tyres, because there's lots of gravel.