You need to get your forms stamped when you are exporting the items from the tax area.

All three countries you mention above are within the European VAT area. As a result, you should be getting them all stamped in HEL.

General typical concept (not airport specific) is that where carried in checked baggage, the baggage should be shown to customs prior to checkin. If carried with you in the cabin, then it is during or after the security screening process to enter the departure lounge.

BUT DO CHECK THE PROCEDURE FOR THE AIRPORT IN QUESTION!

Also, you should give thought to getting goods purchased together in one store, that will likely travel appart (hold vs. cabin), placed on separate reclaim forms - as they may have to be presented for stamping at different times, as per above (some customs are happy to just tick the options, then stamp the form on second sight of it). However, each form may attract another fee for processing from the store.

[If you were connecting on the way out of the VAT area, with through checked baggage, the checked baggage should be shown at point of checkin, but the hand baggage items at last airport within the VAT area.]