At Nordita we have an extensive postdoctoral Nordita Fellowship program and a program for Visiting PhD Students. There is, however, no full master student program at Nordita (as there are at the physics departments of our host universities KTH, the Royal Insitute of Technology and Stockholm University).
On a more informal level, we have had several shorter master student internships, where students enrolled at other universities have visited Nordita for a period of one to six months, as part of their studies.
The interns that have been at Nordita have typically contacted one of our scientists and asked if they would consider to act as their supervisor. The funding, the time spent and the extent of the project done here at Nordita have varied from case to case.
Nordita interns in statistical and biological physics Stefano Bo, Christian Karlewski (1st and 2nd from left) and Emma Ross (2nd from right) and their supervisors Ralf Eichhorn (center) and Erik Aurell (right), after the presentation of Christian's internship report on "Numerical Studies of Optimal Protocols in Stochastic Thermodynamics" on 20 December 2011.
Nordita cannot provide any funding for master student interns.
You should ask your home university for help with applying for these or other sources of funding. Experience shows that if you have already established some informal agreement with your host (like Nordita), the bureaucracy surrounding such applications is greatly reduced.
What we would need to know are your interests within theoretical physics, so that we can see if anyone here might become a suitable supervisor during your internship.
As for timing the internship, you can take a look at our list of workshops and longer scientific programs to see if there is any event in the near future that you might benefit from listening in to (the level is high, but it never hurts to get immersed in things even if you don't understand everything).
Every two or three years Nordita organizes summer schools in theoretical physics for master students coming from the Nordic countries. See the list of Nordita Schools for more information.