Yes, you have to gather everything - sponsor documents and forms + applicants documents and forms + proofs of relationship, as indicated in the guideline. Make sure that your application is complete, it's the best way to get a fast process.
Most likely CIC will not return the documents. Some offices do, but it's not very common. So make sure that you make copies of things that you don't want to loose, and send the copies to CIC. Only a few things need to be originals ( the police certificates for example, I don't remember the rest) but for proofs for example, you can send a copy.
If you are doing translation ( for example, your rent contract in Korea, will be translated into english if it's in Korean) then it needs to be an original, certified translation.
Sweden