Packing List: Winter in Copenhagen is the time to dress up warm, whilst you will always want to remain stylish, warmth should be on the top of your agenda for the winter seasons. Layering is vital; pack woolen jerseys, long sleeve tops, thick socks and even thermal underwear for the bitterly cold days.hat to pack for Copenhagen in Winter. Weather: Michelle says: winter is the time to wrap up and ensure you are kept warm, think big, warm winter jackets, thick scarves, warm sweaters and trousers and possibly even thermal underwear for the extra warmth. And don’t forget warm footwear, heavy duty boots.