Copenhagen is a very, very good city for lovers of vinyl.
Several music stores have well-stocked vinyl departments, and finding stores with second hand vinyl is easy.
One of the indisputably best vinyl stores in the city is Route 66, where I have bought countless records. They have an excellent selection of new vinyl: not just the bands you already know but also underground music and local bands which the store releases on its own record label, Danish Vinyl Production.
The basement is filled with second hand vinyl, so happy hunting.
The window is packed with the newest releases and reprints. Be careful when you enter the shop, there’s a good chance you’ll lose track of time and spend far more time (and money) in there than intended, but that’s what happens when you stand alongside like-minded people shuffling through record boxes and listening to whatever the owner is playing at that moment. On vinyl, of course (CDs are not allowed into this particular store).