As a Swede I use a US keyboard layout and a compose key as you've described. alt gr followed by o and " for example. It was cumbersome to write Swedish fluently for a few days, but after that it felt natural. A good boon is that now I also don't have a problem typing a bunch of characters common in other Latin-like scripts like ç, ø or ß.

That said, I type mostly in English anyway. My reason for using a US layout is that it is more ergonomic for bracket/brace/semicolon heavy programming languages. Braces in particular are an annoying chord with Swedish keyboard layouts. Especially on OS X, which for whatever reason uses three part chords (alt+shift+8 or 9).