Yes, I have done it from UA to SAS. You need to discuss it with both airlines and don't take no for an answer. SAS has to first remove it from your account and then you send documentation to SQ (BP stubs and ticket receipt) who will then check with SAS to make sure that you are not double dipping.

On the other hand I tried to do it for US to UA. In the end it didn't matter so I didn't pursue it further. They were giving me a hard time about it but it did involve 20-30 flights.

What does it say on your boarding pass re FF program?