I've done Stockholm, Gothenburg and Malmo with work, but the opportunity has only arisen in Gothenburg and the only thing I could find was a streetwalker close to hotel (too much time and Google Earth
No car and a suddenly busy reception at the hotel led to a bit of awkwardness, it is as expensive as any decent AW escort and I would not recommend TBH, spend your money on a better girl.
Copenhagen is only a bridge away from Malmo, and probably the best way to travel if you are intending to fly. Again with too much time on my hands I wondered the red light district and it was reminiscent of the Soho clip joints in London and it is a pretty busy street to be honest, although tucked away. The girls aren't shy and and approach you so there is no confusion who is selling sex, I am always a bit wary abroad so I walked on.