Sorry, I got my information from here -
http://www.smh.com.au/lifestyle/people/royal-twins-christened-vincent-and-josefine-20110415-1dg94.html
I just quickly googled the story on Google News and it seems like there are about 10 different combinations of spellings running on different news sites -
Josefine /
Josephine /
Josefina,
Sofia /
Sophia, and Ivalo / Evalo (although there seems to be some consensus that Evalo is wrong).