At some points of entry, if you arrive by plane for example, there is a green and a red lane which you must go through at arrival.
You take the green lane if you do not bring goods subject to customs and excise duties.
However, if you bring goods subject to customs and excise duties, you must contact the Danish Customs Agency (Toldstyrelsen) in the red lane. This also applies if you are in doubt whether you are allowed to bring your goods into Denmark without paying customs and excise duties. If there is no red lane, you must contact customs clearance.