Just to correct:

Denmark is a full Schengen member. The two non-EU countries Iceland and Norway have signed a Schengen cooperation agreement making them members of Schengen as well.

BTW: Schengen only deals with immigration control, and has nothing to do with customs.

The member states are not allowed to carry out immigration control (i.e. passport checks) for people travelling between the Schengen countries (only random checks at special occasions are permitted).