The pronunciation of the ske-ski-sky-skä-skö sound depends heavily on the region. It can be your everyday "sh", but it may also be rendered as "hw", "h" here being the sound you make when you blow on your hands to make them warm.
There are a few more letter combinations that generate this particular sound, e.g., -tion, -sj-, -stj-, -skj-, -xj-. Pick one way of saying it and stick with it, but keep in mind that "hw" is slightly more "standard".
My Swedish teacher called it the "blowing out the candles" sound. Sometimes if I think I'm about to whistle, I make that sound. And another way I thought of was when Stewie in family guy would say "hweat thins" instead of "wheat thins." I can't think of any better way to explain it in text.