On 2 out of my last 4 legs, BA has lost some of my luggage. That being said, they have known where it is, and it usually shows up on the next flight. And the ground folks in CPH do a very efficient job of getting the bags to you.

Given the length of time you have on the ground in CPH, I think that, even if you happen to lose a bag, it will show up in time to make your boat.

Enjoy your brief stay in CPH. Let me know if you need any recommendations.