Yeah we have fought many, many wars between us. But, we have also fought together a few times to fight off the Germans, Austrians, Eastern euros (Russian, Estonians, Ukranians so forth), Brits and others. Actually the north has a very bloody history. We've settled down since then, luckely.
I don't know how Swedes feels about Finns actually. There might be something there. I would say, that from the Danish point of view, we probably like the Swedes the least. I think it had something to do with the fact that Sweden and Denmark fought 8 wars against each other in like 200 years.
Anyway nowadays the beef is minor. Mostly just a joke here and there, sometimes a little harsh name calling. The last 10-20 years it's definitely become less as well.
Oh - and yeah, Copenhagen is expensive. We are paid pretty well, and our standard of living is high, but shit is expensive so it adds up. But, if we are talking about alcohol, Denmark is the best place in Scandinavia. Booze is crazy expensive in Sweden. Malmø is alright, Stockholm is overpriced (both Swedish cities). Stockholm is more "pure" Sweden I would say though, it's further up north. I know a lot of folks in the northern parts of Sweden and Norway make homebrew
You have to go to special shops in Norway to buy anything over 4,6% alchohol.
Bottom line, if you want to drink, go to Copenhagen. That's why so many Swedes and Norwegians get drunk here. Maybe Malmø is a good choice too.