I made the move from the Bay Area a long time ago, although I left the cockpit at the same time.
You need the right to work in DK, which you can get once you are married (be aware, there are stories about not getting the right to live in DK even though married); you need to convert your FAA licenses, and the hassle depends on your time and experience. I just sat all the theory exams and they were a pain. The challenge may be the language. Most carriers often require a command of the language, e.g. a Scandinavian language, German for Air Berlin, etc.
The biggest problem is that there are almost no jobs at all.
First step for you may be to keep your job at VUSA (what's the abbreviation for Virgin America? VA is Virgin Atlantic...and I'm not talking the ICAO/IATA code) while doing the JAA exams. These can be done in the US I think, left and right coast.