You Do Need power plug adapter while traveling from Wales to Denmark.

Here is Why You Need An Adapter

The outlet and plug type used in Denmark are C, E, F and K and in Wales is G. This is how they look like.

Wales

In Wales, outlets of type G are in use.

Type G

Denmark

In Denmark, outlets of type C, E, F and K are in use.

Type C

Type E

Type F

Type K