I’m using a .se domain myself on DreamHost and can explain exactly what you will have to do. Besides, .se allow direct second level registrations and has been doing that since the 1980’s. You don’t have to use a third level registration. Practically none of the second level domains listed on Wikipedia is in use today, except for mil.se that is used by the military. Everyone is using their own second level domain.
The .se top level domain is administrated by The Internet Infrastructure Foundation. They have a domain manager on their site that allows you to redelegate your domain. You log in with your customer number and your password. If you don’t have a password or don’t know your customer number you can have it sent to you by email from the domain manager.
Once you’re logged into the domain manager you should use it to redelegate your domain to DreamHost. Do that by changing it’s nameservers to ns1.dreamhost.com, ns2.dreamhost.com and ns3.dreamhost.com.
Then you have to visit the DreamHost control panel and simply add your domain name under Domains => Manage domains.
Then you’re done. It will take a couple of hours for the redelegation to spread across the Internet, but there’s nothing more you have to do.