Hi, will your TATL flight be on miles or cash? if cash, SK permits stop-overs also on cheap tickets and the price for intra nordic tickets will be more or less included in price of TATL section into CPH or ARN. If using miles on TATL, you will not be able to make stopover longer than 24 hours, but if that is enough for you in CPH and ARN you will have same amounts of miles if you extend your TATL to HEL and arrange so that you fly into CPH and return from ARN. (not always showing on booking site, but SAS call center can usually arrange).
If still in the end you end up buying separate intra-nordic tickets, very early morning, or mid-day departures usually remain at low prices until few days before departure. As you have status with OW and STAR I would stick with either SK or AY and stay away from DY to get fast track, luggage and lounge benefits.