Luggage - a MAJOR problem. No you cant leave it at the ship to my knowledge, you cant check it in at the airport that early and you cant lug it around with you.
Normally in these circumstances I either (a) rent a car - drive around and store the luggage that way (b) rent a driver and have him drive me around and store the luggage that way (c) get a really cheap hotel room near the airport - store the luggage and freshen up before my trip home. (d) take a Radisson tour where the tour bus stores the luggage in the bus until delivery to the airport or (e) check to see if the Copenhagen airport has a luggage storage facility. These used to be in all airports but now are harder to find due to security concerns. I dont know if Copenhagen has a luggage storage facility or not.