I have tried AutoEurope. The drop off fee was more than the car rental cost. I think the answer may be to take the train from CPH to Malmo, and rent the car there. The drop off fees are substantially lower, I suppose because the car will stay in Sweden. I don't know why I didn't think of this earlier!!

travelmad, thanks for the link to National. For some reason, I always forget about them, so I'll check them out.