To record a call is allowed, in Sweden, as long as one of the parties involved in the conversation is aware of the recording. This according to Brottsbalken 4 kap. So if you record your own conversations, you are considered to be a participant, and it is therefore fully allowed. This legislation applies to all types of conversations, not just those that happen over the phone.
If none of the parties involved in the conversation are aware that it is recorded, it falls under wire-tapping, something that is not allowed. Our recommendation is to always be transparent to the counterparty and tell us that and why the conversation is recorded.
Note that this is a Swedish law and may differ to laws in other countries.