There is a much easier way. First install the US International keyboard layout. Don't worry, you can have multiple layouts installed and switch between them as you please.
Your right Alt key will become a special AltGr key:
AltGr+w = å AltGr+W = Å
AltGr+z = æ AltGr+Z = Æ
AltGr+l = ø AltGr+L = Ø
Dead keys also work, e.g. 'e = é (for ‘én’ and ‘ét’)
(Note: there is a special Danish keyboard layout, but I think you'll prefer the US International one, as it's a lot more versatile and has the semicolon and such in their usual positions.)