In case you're relocating from another country:
Copenhagen: you should check out our complete guide to moving to Copenhagen.
Aarhus: you should check out Aarhus official website
In case you've previously lived in Denmark: you can easily change your address on borger.dk. Make sure to always put: FULL NAME C/O LifeX in the name field for your address - this way the post will always be able to find you even if you don't have your name on the mailbox.