G'day
dnieuwenhuis: I can't comment on Denmark directly... but I did make a recent VFR flight through France, Belgium and Holland to Germany which was originally intended to go on to Denmark (thwarted by weather). It was pretty seamless transferring between the various jurisdictions - as long as you have a flt plan filed.
I understand from talking to Dutch pilots I have met that your PPL training includes "foreign" cross country navigation exercises into Germany, so you'll be familiar with the procedures. My assumptiopn would be that you wouldn't notice a significant difference continuing into Denmark.
Good luck with the trip... and next time, head over to Britain!
Andy