If you want to go to the Colonies with Sweden, the easiest way is to build (at least) two full stacks, sail them to Ceylon and South America, and declare war on Holland. Their three colonies are easy to seize if you prepare properly and they can't touch you on land in Europe. Once you have seized them all, you can make a peace agreement and you will have excellent footholds in both America and India. The Pirate faction is also a good one to take out in America.

In my current game (1763 - 43 provinces), I took Courland + Poland (may as well do them both), followed up with Denmark and parts of Russia, before annexing parts of the Ottoman and the rest of Russia. Prussia is good to leave as long as they'll let you, since they are very belligerent and will fight other nations (keeping them occupied).