Prositituion isn´t illegal in Denmark and WGs pay taxes, so there is a lot of bullshit cut out. Most of the Thai massage places (which are everywhere) offer H.E. and more although it can sometimes be a bit hit and miss. There´s a far choice of brothels (klinikker in Danish)if you look on their websites they have the prices and timetables, very organised. In Copenhagen the street hookers are mostly East European and African, I would not recommend. It might be a bit more expensive than what your used to but you do get what you pay for, there are some drop dead gorgeous WGs there. Heres a couple of links to get you started.
External Link/Members Only or this is an agency in CPH
External Link/Members Onlythis is another useful site in Danish only I´m afraid
External Link/Members Onlyå-sjælland-og-københavn/
Hope this helps, enjoy your time there.