We are flying into Aarhus heading into Randers for the evening. Should we take a bus into Aarhus and spend a couple of hours before heading to Randers, and if we do stop there are there lockers in the bus station for our luggage?
Depends on your taste. Aarhus is much bigger than Randers and there is much more to do. See http://www.visitaarhus.com/ln-int/denmark/tourist-in-aarhus. Personally I would spend 4 nights in Aarhus and 2 nights in Randers. YMMV.
According to https://www.dsb.dk/kundeservice/stationer/aarhus-h/ (in Danish) there are lockers at the train station. DKK 20 or 40 (depending on size. You need DKK 10 coins to operate them)