I'm not sure how to ask my question or if it's in the right place...redirect me if I'm wrong?

We have what I think are complicated connections (I've done this to myself, no doing of the airline) and I want to be sure I'm okay before I pull the trigger on the shorter flights. I travel often, frequently internationally, but I've never booked anything other than a single ticket with the airline doing the work...this time around I had to have a bit more flexibility to get my whole group together.

I've booked roundtrip tickets on Delta, MSP-LHR. I have yet to book additional tickets roundtrip DSM-MSP and LHR-CPH

Flights are same-day:
DSM-MSP
MSP-LHR

LHR-CPH a day later

Then on the return, all same day:
CPH-LHR
LHR-MSP
MSP-DSM

Do we need to check in and go through security multiple times? Domestic to international? On our return with 3 separate tickets, do we check in and go through security in CPH, LHR, and MSP? Collect checked bags??

If anyone could help me get my head around this, I'd be grateful! I'm hopeful it's not as complicated as I'm making it in my head!
THANK YOU!!