If you want to change your Danish address, you have to inform the authorities at life in Denmark, via the below link. The online self-service is primarily in Danish but you can always get help to fill it in at Citizen Service (Borgerservice), at the library or maybe you know a Danish-speaking person, who can help you.
To use the online service, you need your NemID. Also remember to bring your NemID if you want to get help at Citizen Service or at the library.
You can earliest inform the authorities of your change of address four weeks before you move and it must be done no later than five days after you have moved to your new home.
Remember that if you leave Denmark for good, you also have to inform the authorities. Read more at life in Denmark's page about practical matters before leaving.
If you have questions about your move you are welcome to contact me;