Yes, with a very few local exceptions.
You do not however need to clear customs for international flights within the Schengen area, so your first stop outside the UK needs to have customs/immigration as does your last before arriving back.
As for guides:
Denmark puts its VFR AIP
online, as does Sweden
here.
Germany has its IFR AIP as part of the
EAD but the most useful online flight guide I've found is
http://www.airports.de with links such as
this. The Friesian islands are in Niedersachsen, BTW.
HTH