As long as you arrive from and continue on to points outside of Denmark you should not need to clear Danish customs (unless you check your baggage only to CPH in which case you will need to pick it up and take it through customs to check-in).

If you arrive from inside the Schengen area (the EU countries minus the UK and Ireland plus Iceland and Norway, IIRC) and continue on to a destination "outside Schengen" or vice versa you go through immigration (passport check), but no customs with the possible exception of destinations within Denmark.