You should go to the museum called "Töjhus museet" here you will find lots of uniforms, canons, weapons, books etc. I think it is one of the largest weapon museeums. (Close to Christiansborg). But also the Navy museum at Christianshavn could be interesting as they tell the story of the danish alliance with the french and the loss of our entire navy.
For hobby stores, this one is the absolute best:
Model og Hobby aps
Frederiksborggade 23, kl
1360 København K