Two approaches:
1) Run, run fast and run far: Immediately upon starting the game, declare a prepared invasion for somewhere more preferable. You start small, so should get a very decent number of troops for free. Get some land in a more balkanized area. Then when Sweden invariable gobbles up Gotland, it being de-jure, you will have somewhere to be.
2) Kiss some royal boot: Bend the knee to Sweden or Denmark when they first form. In some respects I prefer Denmark, as even if you are a part of Sweden, you might get gobbled by the Jarl of Smaland. Nobody in DM will have a de-jure claim on you, and you should have time to grow more powerful before you need worry.