I have no idea what the Specific US Embassy in Denmark (or Sweden)guidelines are, I defer to GU on that one, as I know that there are some missions abroad that no longer accept mail in's, but others may. I would suggest that anyone wanting to do so, inquires of the mission that they are planning to do it at. Looking at the Sweden link above there do seem to be a few caveats though (that it is not your first adult passport, etc)