Good comments all. We used BA miles for tickets to fly from USA into CPH and returning from ARN (naturally via LHR). I don't think I can add any additional flights to that itinerary without incurring change fees, so these will be done separately.

Given the relatively low prices, I will likely just pay cash to fly AY or SK. The only benefit to using UA miles on SK is that change/cancel fees are waived for 1Ks.

As discussed elsewhere, considering deluxe ferry for HEL-ARN but haven't decided yet if I want to blow additional time/$$ on that option.