sending money between countries

Hey! I just wanted to ask people how they send money across countries. I've been a little disappointed with using a bank because when money gets tight the fees feel excessive. I learned that different currencies have different transaction fees and I'm looking to go from local bank -> local exchange -> wallet ->
exchange abroad -> bank overseas. I'm an expat living abroad and I want to be able to relocate my money so that I can invest in stock back in the US. I believe I'll need a VPN so that I can access an exchange in a different country. The two countries involved are Sweden and US. Has anyone tried to do something similar? Thanks for the help.