Let us know how it goes. Main thing to be aware of in the Nordic countries in general, and Denmark in particular. Is that they both have the Swedish Rite and then also English Craft Masonry. The Swedish Rite is under DDFO and has a requirement that you are a Christian. Craft Masonry (Lauget in Denmark) just has the requirement of a belief in Deity.
Swedish rite has 10 degrees, where Lauget has 3, but think that you can take 4th-10th under DDFO after you're done with Lauget.
I'd go DDFO myself if I had a choice.