In Denmark you can get very cheap conversion ratios to other currencies if you do bank to bank transfers though your banks internet site. So I would try to find a good credit card in Britain or a EUR country and route money through that.

Personally I have most of my income in the US and the UK, and I route all my non-US transactions through Capital One with zero fees, interbank exchange rate, and 1% cash back. There are other US credit cards with similar features, but you need an american credit history to get them.

Carsten