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Well, in response to your question of what you should do, I would find a cognitive behavioral therapist in your area and schedule an appointment with them to inquire about therapy. Some questions you want to ask of any therapist that treats OCD are: 1. What methods do you employ to treat OCD? 2. How long have you been treating OCD? 3. Are you a member of the Association for Cognitive Behavioral Specialists?
You said numerous times in your post that you've never been diagnosed with OCD, but from the constant ruminations you have and compulsion to confess, it defintely sounds like you have OCD. The good news is OCD is very treatable using CBT in conjunction with a mild dose of medication, usually some type of SSRI.
I'm not sure how things work in Scandanavia, but if you need to find a therapist, you can check out the OC Foundations website, as they have listings of therapists in certain areas.
Let us know how you're doing.