I would suggest you do the conversion with the UK CAA instead of Denmark. Medical is 60% cheaper even with the flight included to Gatwick from Copenhagen and I think that license fees are cheaper aswell. Also the Danish CAA is very slow at responding to simple questions.
I do not think that the Danish flight schools have any or only little experience with converting from FAA to JAA.
Try to have a look at Icelandic Flight Academy or Keilir Aviation Academy in Iceland. They provide good training and are cheaper than in the UK, DK and I think even Florida.
I know that Icelandic Flight Academy have had quite a few students converting from FAA to JAA.
Are you sure you need to do any flight training? I know a MD11 Captain who is only doing a skills test in the simulator to convert his license.