I usually book mine directly with SAS over the phone, and then pick up the ticket at the SAS ticket office in the middle of Copenhagen. However, the great thing about these tickets is that they can be picked up on the day of departure, so you can just have it issued at CPH airport before you leave. I would arrive a couple of hours early though, it takes a while for them to issue it.

The SAS agents in Denmark are very nice and patient, I've never had a problem making changes to my tickets even though it's meant a lot of extra work for them. Also, one of my tickets had only one SAS segment but SAS had no problem issuing it.