I had some of your dilemmas when doing an LHR-OSL-CPH-PEK routing, with OSL-CPH-PEK on SAS, on separate ticket - timings were even similar, my connection was slightly later. I had to check and reclaim at OSL and then check in again. OSL is not a big airport, so it's very quick to get from baggage reclaim (where the bags came off pretty promptly) back to check-in. My only issue was to be standing at the baggage reclaim, still waiting when they announced all the bags had come off First at baggage desk, was told my bag should have been on the flight, as they had no message - guy went off to check and came back with it, they had made the announcement before all bags were on the belt However, I did reckon that if it had come in on the second flight of the day (the one you depart on), it wouldn't have been terribly difficult to get to it, check it in and still depart on the flight - and with possibly the added bonus of triggering an AMEX lost baggage payment ...

So I'd do 2. You will have time to get into the city for a few hours (although the train is about as expensive as HEX), and it is a pretty city to have lunch in (which is what I did )