It's really something you have to pick up from listening. It can't be replicated any other way. I'd recommend listening to the recording here, on the pronunciation guides Xcel271 listed, or look up some songs and their lyrics and practice singing them. (One song I recommend for this is Laleh's Bara Få Va Mig Själv because it has that "sj" sound right in the chorus. You can find this song on YouTube at https://www.youtube.com/watch?v=tzln6GO4yHY. It also has other common words to help with pronounciation, and both Swedish and English subtitles.)
It's supposed to sound like the Swedish sk/ti/sj sound. It appears to uniquely exist in the Swedish language. It is sort of like the English "h" and the Spanish "j", except that it is a lot stronger and has other small differences I can't quite describe. I think you should hear some examples from native speakers: http://forvo.com/search/sjalv/ http://forvo.com/search/Sjunga/ Also, if you really want to know more about it, read this: https://en.wikipedia.org/wiki/Sj-sound
I find it interesting how different people hear it differently. To me it still sounds like an F, I never hear it as a "hw". For example "skjorta" sounds like "futa" in my ears. And after a lot of watching YouTube videos, listening to forvo and reading about it I still can't make a sound that sounds close to any of the samples.
Yes, it's like "you're" and "your" - they mean different things and are spelt differently but they're pronounced the same way. Also, just to save you some time Dylan (if you haven't already figured this out) - you're correct that it's "they" and "them", but I find it helpful to think of all the different pronouns in their subject and object form. Subject: han, hon, jag, du, ni, de, vi Object: honom, henne, mig, dig, er, dem, oss
We have ALMOST the same setup in English except that we are curiously missing a different form of "you". e.g. "I am going to the school with you. You are coming with me to school." - see, "I" turned into "me" but "you" stayed as you. Not so in Swedish. "Jag går till skolan med dig. Du kommer med mig till skolan." (sorry if that's not quite right guys but the subject/object bits are)
Also, Swedish, like basically every other language, has a plural "you" ('ni' and 'er') that we don't have. So that's where "de" (dom) and "dem" (dom) fit in.
To speed up language learning, you probably should let go of the idea of prepositions being 'direct translations'. In fact, many words cannot be translated using only one other word (only very specific concepts and some nouns really) - but prepositions are basically NEVER directly equivalent to one another across languages. So, yes, "av" means "by" but it can also mean "of" and probably a few other things. If you think about it, this is one of the easier ones because you can say "the work of Camilla Läckberg", so in Swedish you get something like "Stenhuggaren av Camilla Läckberg" (The Stone Cutter, by Camilla Läckberg). But don't try 'translating' prepositions, because as a general rule, it will fail.
Those are the ones I can think of right now and all of them would need at least three English words to be translated accurately across all their uses. One quick example, "Det ligger på bordet." (It's ON the table.) - "Kan du säga det på svenska?" (Can you say it IN Swedish?) - so we have 'på' meaning both 'on' and 'in', depending which English phrase we're translating it to.