This is also an issue for me. I often sms and write in Swedish but almost always dictate in English. I have tried to keep my keyboard on English but that messes me up. The only other way I've found is leaving the keyboard on English but selecting my foreign characters by pressing and holding a to get ä, o to get ö and a again to get å. That way, my keyboard is always on English and therefor ready for dictation in English.
Very frustrating though ... grrrr!