The best mosquito season in Finland tends to be later in summer, say June-July. In southern parts they are really just a nuisance, but it gets worse (much worse) towards north. I know that northern Norway and Sweden are the same, but don't know about the southern areas.
Actually, if you stay in a rental cottage, it may be impossible to keep them out - they don't need much of a hole to enter. But it is easy to keep a decent tent clear of the little suckers. When camping they are more of a problem during the evenings and in the morning, when you are eating etc.
You can make things easier for yourself by choosing your campsites, using repellants and wearing clothes that cover most of your body. And the good thing is they don't spread diseases like malaria here.
--J