You will enter Schengen at KEF so there is no pass control at ARN. However, with separate tickets -- US-KEF-ARN: WOW and ARN-UME: (SK? DY?) -- you will not be able to through-check your bags. You will thus have to collect them at ARN, go through Swedish Customs, and (re-) check-in for your connecting flight. Your 3h35m transfer time looks reasonable on paper and you will probably be fine -- although you should be prepared for some anxiety if WOW are (badly) late, as they sometimes are. But that's always the gamble with separate tix ...

Good luck.