You can't stroll around Roskilde anymore, you need an access badge (spent hours as a kid in the 70ies doing that while my Dad was taking lessons... not possible anymore). Joining the KZ & Vintage Aircraft Club at Avedøre is a great idea to get hands-on contact with aircraft, get to know people and scrounge flights in interesting aircraft (I did that before the original poster was even born; grew up 10 min walk from there). However, don't expect to fly any of the aircraft operated by the club there from that "runway" anytime soon. For actual training nowadays in Denmark, you need an approved training facility. Very few clubs in Denmark can offer that, Roskilde Flyveklub being one of the exceptions.
PS! There's a Danish forum, pilots.dk, where you might get more accurate replies..