I recall that some years ago you could just stay at the gate where you arrived and wait there. No need to go through any checks. But intercontinental arrangements have changed many times since then, and I have been there quite some time. Somehow I happen to take IC flights through other hubs. Perhaps someone here has a fresher experience.

EDIT: the above is probably stupid. Most likely you need to check in in CPH, and I doubt if you can do this without going land-side, or at least crossing passport control for transfer centre. I do not recall a transfer facility in the non-schengen part of CPH.