While compound nouns are almost always properly written as one word in Swedish, in English they may be written in three different ways: as one word, as two words, or (much more rarely) with a hyphen. For each individual compound, there is usually a preferred way to write it, which you must simply learn.
Note that whenever a multiple-word expression, such as a compound, is used as an adjective, all spaces must be replaced with hyphens:
an air raid siren
an air-raid siren
As an aside, do not put any spaces around hyphens. The only time you put a space after a hyphen is when there is ellipsis and the second part of the compound is left off:
The city is mostly one- and two- story houses.
The city is mostly one- and two-story houses.