The -ch in loch and the j- in José both have a distinctive rasping sound that's only found in Skåne. I'd suggest not pronouncing is as that as most of sweden (90%) does not. I'd say a softer ch-sound, more like the ch- in check, is commonly used by the majority of swedes.

Tyda.se as suggested above has excellent pronounciations on these, with the possible exception of skärpa, which sounds a bit strange I admit.

The pronunciation of these words differ in Sweden, depending on things like geography, social class and age. The initial consonant sound, spelt 'sj-', 'sk-' and 'stj-' in these words, are pronounced similar to the English sound spelt 'sh-' as in 'ship', if you are from the north of the country. If you are from the south of the country, this same sound is pronounced more like the '-ch' of Scottish 'loch' or the 'j-' in the Spanish name 'José'. I would recommend that you use the southern way of pronunciation as this is more standard. As for the U sound you mention, you are perhaps referring to that certain souther varieties use a very slight w-sound (as in English wind) after the sje-sound. But to my ears that sounds a bit dialectal and rural and I would advice you not to use this pronunciation

I'm sorry, I don't follow. None of these words have an U sound in them.

You could check the pronounciation of these words (and many others!) on http://tyda.se/

(Although I should note that the pronounciation of "skärpa" on tyda.se is mildly retarded. You can find a better pronounciation of "skärpa" on http://lexin.nada.kth.se/sve-sve.html)