I did this yesterday (LYR-OSL-CPH). Indeed, flight from LYR arrives at NS zone so you have to clear passport control (at the time that LYR flights arrive after 4pm usually that's fine) and then have to pass security again. Security had only one checkpoint and took some time but queue was moving along. Then you are out to E-gates. My CPH flight was departing from E2, so was smooth.

Overall, i think you should be fine. SK is also very effective in disembarking (stairs both to the front and back) and even if you miss your connection, there is an (almost) hourly service to CPH.