Inet and Webhallen's prices seem high, I wasn't able to find anything better than an R9 280X for your 2500 kr budget.
Dustin.se has a Gigabyte R9 290 on sale for 2490 kr, but it is listed on the business section of the website and I don't know if you would be restricted from buying it. It seems that you should be able to find an R9 280X or R9 290 to fit your budget. As for Nvidia, the GTX 970 is above your budget and the newer and more efficient GTX 960 isn't quite as good as the R9 280X in raw power.
As for overclocking your processor, yes, you will need a better CPU cooler.
Here are some English guides for overclocking your processor, scroll down a bit to see their links. I will say that your computer is at the point where you could benefit from a CPU upgrade, but in your case you would need to replace both the motherboard and CPU. CPU overclocking is a cheaper way to get some higher performance without needing to spend as much money replacing your current parts, and going by
these benchmarks, it appears that your i7 950 is still capable of decent framerates. In any case, even if you do upgrade to a new CPU and motherboard, it would be easy to move the non-stock CPU cooler over to that new computer.
For CPU coolers, I can recommend the
Phanteks PH-TC14PE for 503 kr which is also listed in the business section. The home section of the website lists the
same model of heatsink but different color for 629 kr.