Converting isn't necessary, but avoiding it can and will make things difficult for awhile.
The first step is to win the war for Sweden. Become King, and then start working hard to convert all the nobles and counties you can to the Norse faith. Rebellions will be a constant and major threat so long as any Christians retain power in Sweden. Once they're dealt with, you'll need to start trying to grab enough manpower to insure the HRE decides you're not worth the trouble to holy war. The Finnish pagans can be a nice start, as you can plow through them with Conquest wars pretty quickly. The HRE will hopefully remain distracted long enough with civil wars and the Baltic pagans to leave you be for a good while, ideally enough time to conquer Finland... and some of Norway.
And keep an eye out for title claimants. While most won't take a straight up invitation, they may still be willing to marry into your realm. Do so, get them to convert, then press their claims to either take land for yourself or possibly try to install a Norse king/queen in another realm if you think you've got the power to protect them. Though this should be much easier once your Emperor of Scandinavia...
Totally doable, and even with the now long standing nerf, Warrior Cults should give you a hefty boost to your army size. I did it with Olaf Gren back on release day, and while the Cults aren't as powerful as they used to be, I also had to deal with climbing from the bottom of the ladder. Just be aggressive, and smash Norway (they'll be a constant pain for awhile) early. Once Scandinavia is united, you can be a little more cautious and opportunistic. Attack weaker realms, hit the HRE when they're weak, try to insure your heir is as lovable as possible to avoid civil wars, and try to weaken Christianity as a whole.
