This paper details the process of developing the first native large generative language model for the North Germanic languages, GPT-SW3. We cover all parts of the development process, from data collection and processing, training configuration and instruction finetuning, to evaluation, applications, and considerations for release strategies. We discuss pros and cons of developing large language models for smaller languages and in relatively peripheral regions of the globe, and we hope that this paper can serve as a guide and reference for other researchers that undertake the development of large generative models for smaller languages.