Yep! I was the one that made the Netherlands focus tree.
The best way to fortify Denmark would be to fortify the Danish islands, and focus all the industry in that region. Jutland will not be defendable, and the straits will function as great defensive regions. You should get the 5% recruitable populaion policy as fast as possible, as you will need tons of manpower. You should also make very strong units, with the best weapons possible, and as many bonuses to your army too. Hope that Germany has gotten into a fight with the Allies in the meantime, and just hold the line until Germany has bled to death trying to defeat you, with you having minimal losses.
I am even so nice to make some pretty good unit templates for you!
Germany plz no: Infantry division
Let's start with the support units: Military hospitals, Recon units and radio units. For the frontline units: 9 Infantry, 2 artillery.
Do not try to build an airforce, it will get destroyed. Focus all your military factories on building up a wartime supply of weapons, ammunition and artillery. You will not need any cavalry or tanks, but keep the templates around for when you start your counterpush and can encircle some German divisions in Jutland.
TL; DR: Fortify the straits, build factories in the Danish isles, get tons of manpower, abandon Jutland, laugh as the Germans get huge losses trying to cross the strait, bleed 'em to death, make a counterpush and realise that Berlin is already Russian, cry as you have gained nothing.
As for what fort: Naval forts, for if the Germans try to land in Copenhagen with boats.
EDIT: I think I just found my first game.