Staying in Copenhagen
Expect hostels at £12-20 (€18-30), hotels £50 (€74) and up.
Hostels
There is a nice new hostel just opened this summer very near the city center called Dan Hostel. You can get just a bed in a shared room, but they also have 4, 5, and 6-person rooms, so if you are several people traveling together this could be an idea to share. You can easily get to the venue and back by public transportation. In addition to the price listed you need to be a member of "Hostelling International", but you can buy a one-night "YHA Card" for 35 DKK. If you don't bring bed linnen this cost 60 DKK in addition as well.
Hotels
Probably the closest hotel to the event is: Comfort Hotel Østerbro. A full list of hotels in Copenhagen (find one that suits your price range) can be found here. Hotels in Copenhagen are not cheap, though.