To expand the other answer and my comment ...
Why do you want to do this? Your profile says you plan to live in Sweden for a bit then Canada. I'm assuming you want to take the Taser to Canada, and there it might be legal, the prohibited weapons lists says only:
30 Device with incapacitating electric charge shorter than 480 mm
This category includes any device that is designed to be capable of injuring,
immobilizing or incapacitating a person or an animal by discharging an electrical charge produced by means of the amplification or accumulation of the electrical current generated by a battery, where the device is designed or altered so that the electrical charge may be discharged when the device is of a length of less than 480 mm, and any similar device. Examples of these are stun guns or other types of electric-shock devices.
Or from here (the following are prohibited):
Taser and stun guns shorter than 480 mm
So depending how long it is, or if it's folding or extendable what it's shortest size is when it's capable of giving a shock.
If you want it for Canada my recommendation would be to not take it illegally through Sweden. It does appear that it would be legal to mail it to Canada as long as you honestly described what it was and it met the size requirements. It doesn't look like you need a license to import it, but I'd consider phoning an embassy and checking.
Doc already pointed out that it's illegal to own a Taser in Sweden and it is illegal to import one into the country. You'd be knowingly breaking the law if you did that.
To try and make clear why that's a bad idea, here's the punishment for smuggling prohibited items into Sweden:
Section 3 A person who in connection with the import into Sweden of goods that are subject to
a specific prohibition against or condition for import, intentionally contravenes the prohibition
or condition by failing to report the goods for customs clearance, shall be sentenced for
smuggling to a fine or imprisonment for at most two years.
So you could pretty easily go to jail. Of course you could claim that you didn't know and would probably just get off with a warning or a fine. However if you've made any attempt to hide the device -- such as splitting it up between two people -- you're almost certainly going to get prosecuted for it, and possibly refused entry to Sweden.
Just to add, if you're travelling on the same ticket and your bags are searched then they're search all the bags of both travelers after finding the parts in the first bag.
What are the chances of them actually finding it? Well, not 100% certainly but people coming from Thailand are often stopped for searching. There's a good possibility that your bags will be x-rayed at some point and I would imagine even a dismantled Taser is going to have a fairly clear x-ray signature.
You may also want to consider the quality of the device itself -- I'm making the assumption you bought it cheap off a street stall or similar. So it's very likely made cheaply and could either malfunction and injure it's user or other people. Or just stop working after a while.
Certainly the risk doesn't seem to outweigh the reward here at all.